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In this paper we introduce the reader to the basic tools for the computation of Counterparty Credit Risk such as Credit Value Adjustment and Debt Value Adjustment. We also present the effect of mitigating clauses, like netting and collateral, in reducing the credit exposure. Detailed numerical...
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The comprehensive guide to working more effectively within the multi-commodity market. The Handbook of Multi-Commodity Markets and Productsis the definitive desktop reference for traders, structurers, and risk managers who wish to broaden their knowledge base. This non-technical yet...
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The paper explores the fit properties of a class of multivariate Lévy processes, which are characterized as time-changed correlated Brownian motions. The time-change has a common and an idiosyncratic component, to reflect the properties of trade, which it represents. The resulting process may...
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