Behavioural XVA

Abstract

Behavioural effects in XVA occur in the typical case of hedging a client trade: on client default the hedge (effects) will be removed, alternatively if the hedge counterparty defaults the hedge will be replaced. Thus the... [ view full abstract ]

Authors

  1. Chris Kenyon (MUFG Securities EMEA plc)
  2. Hayato Iida (MUFG Securities EMEA plc)

Topic Areas

Credit Risk , CVA-XVA Models , Hedging

Session

FR-A-B1 » Risk Spirals (10:00 - Friday, 20th July, Beckett 1)

Presentation Files

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