Standard techniques for incorporating liquidity costs into the fair value of derivatives produce counter-intuitive results when credit risk of the counterparty (CVA) and of the investor (DVA) are added to the picture. Here, Massimo Morini and Andrea Prampolini show that a consistent framework...

In this work Massimo Morini and Andrea Prampolini argue that KVA is a component of profit turned into a valuation adjustment as a by-product of regulatory constraints based on a conservative consideration of market hedges. The regulatory foundations of KVA are analyzed from RWAs to the Leverage...

In modern monetary systems most money is created by commercial banks; we review how private money in the form of deposits circulates and discuss its possible tokenization. We show that a compelling case for the tokenization of bank deposits exists irrespective of the debate regarding central...

We discuss in detail the mapping methodology for the valuation of bespoke single tranche Collateralized Debt Obligations in the context of the stochastic recovery gaussian factor modelling framework recently proposed by Amraoui and Hitier (2008)

"A guide to the validation and risk management of quantitative models used for pricing and hedging. Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature--the risks...