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movement of CDS spreads. The second contribution is to improve efficiency in negative basis arbitrage trading. Specifically, we … can enhance the gain from negative CDS-bond basis arbitrage …
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We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated...
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derivative products. Regulatory capital for counterparty risk, including the recent Basel III requirements for CVA VAR is …
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