activity
20102022
most citedMVA: Initial Margin Valuation Adjustment by Replication and Regression

19 citations · 32 across the 21 of their papers we have counts for

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q-fin.PR2010★ 6 cited

Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades

Chris Kenyon

Bilateral CVA as currently implement has the counterintuitive effect of profiting from one's own widening CDS spreads, i.e. increased risk of default, in practice. The unified pict…