Roberto Caccia

Derivatives

CVA-DVA-FVA-FDA. A funding (instead of defaulting) approach to bring symmetry between asset side (FDA) and liability side (DVA) of credit-related adjustments for derivatives valuation. Presented at the 2^nd annual Credit nd Funding Valuation conference, NY Apr-2013.

Downgrade Termination Costs – Risk Magazine, Mar-2012 (pdf)

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