All Questions
Tagged with collateral counterparty-risk
3
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Why is ColVA a negative XVA adjustment?
The expression for ColVA is usually written as something similar to this:
$ColVA= -\int_{t}^{T} D(t,u) E_{t}\Big[ s_{X}(u)X(u)\Big]du$
Where D is the discount, $s_{x}$ the spread at which the ...
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Cheapest-to-Deliver (CTD) collateral methodology
Do you know where can I find details about this methodology? Theoretically, in cases where the CSA allows collateral to be posted in different currencies, the counterparty will always choose the ...
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How to estimate quantitatively the settlement period?
The context of this question is Counterparty Credit Risk. In particular, the modelling of collateral for non-cleared OTC derivatives.
Regulators require collateral amounts, such as Variation Margin ...
