The State of XVA
Speaker:
Andrew Green, Scotiabank
Date and Time:
Wednesday, March 29, 2017 - 6:00pm to 7:00pm
Location:
Fields Institute, Room 230
Abstract:
• Defining the current list of XVAs
- C,D,F,K,M – are there any more?
• Can we meaningfully separate value from valuation adjustment?
- Case study: XVA at the Exercise Boundary
• Implementing XVAs in Practice
- GPU vs AAD or GPU & AAD
