<t>Abstract:KVA represents the extra cost being charged by banks to clients in order toremunerate banks? shareholders for the mandatory regulatory capital provided bythem throughout the life of the deal. Therefore, KVA represents earnings chargedto clients that must be retained in the bank?s balance...

<t>Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA.As a by product of the 2007-2008 credit crunch, derivatives pricing and risk management are experiencing a dramatic transformation. Assumptions that were widely accepted not long ago, like absence of counterparty credit...

<t>Thanks a lot for your feedback. Wrt your 1st question:*) Well, the most obvious is from the trader's or derivatives' business unit manager's standpoint:It is good to price with a metric that once all the risks have been hedged (mkt risk, counterparty credit risk and own default-spread risk) impli...

<t>Abstract:In this paper we explore the different components that should be incorporated inthe price of uncollateralized derivatives. We do so by putting special focus on thehedge-ability of every term. In order to reflect the most realistic situation, we assumestochastic credit spreads for both co...

<t>Interest rate modeling under multiple discounting curves:Abstract:For deals denominated in a single currency, different collateralization schemes imply different accrual rates for funds posted as collateral, so that we can end up with different current accounts that accrue at different rates and ...

<t>CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions. Abstract:In this paper we explore the components that should be incorporated in the price of an uncolateralized derivative. We assume that one counterparty will act as the derivatives hedger ...

<t>Hope it helps. Any feedback more than welcome.paperAbstract:In the classical quantitative finance literature it is assumed that there is a risk free rate at which hedgers can borrow and lend in the dynamic replication process of financial derivatives. In such a framework, under complete market co...

<t>linktopaperlinkAbstract:In the classical quantitative finance literature it is assumed that there is a risk free rate at which hedgers can borrow and lend in the dynamic replication process of financial derivatives. In such a framework, under complete market conditions and absence of arbitrage op...

Thanks for your answers.Any HHs that anyone can suggest?

<t>Hi everyone,I work for a bank based in Madrid and we are currently searching for several candidates with a strong quantitative background and previous experience (3-4yrs) in financial modelling at a front office environment.Since we are not able to find good candidates based in Spain, we want to ...

yes, it does.

I am of accord with both of you about Mount CharlesYou both seem nice guysTell us a little bit more about you

why reason?

<t>Why don't I appear to have read the ethics sections?.Do you think that my message was not ethical?.And if that was the case, would it mean that I had not read them?.You are right, in a CV I should write "I am a CFA charterholder".What about in an informal conversation (with a close friend, for ex...

<t>I am a CFA (was encouraged to engage).I found the program quite boring.Most of the assigned reading seemed to me to be complete bullshit.Recommended text books seemed to me poor quality.A lot of reading for little information.You know, just an artificial entry barrier (and a business, of course)....