Many papers claim that value and size fundamentals (book-to-price ratios and market capitalization) yield positive expected return premia because they are proxies for systematic risk factors in conditional and/or multi-factor CAPM. Much of empirical evidence to support this idea comes from...

We propose a CVA model capturing the wrong way risk that is not product-specific and is suitable for large-scale computations. The model is based on a doubly stochastic default process with the default intensities proxied by credit spreads. Unlike in other models, the CVA is a function of the...