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UnRisk: Exposure Skewness
Andreas Binder & Michael Aichinger

Swap 4175 between the City of Linz and BAWAG P.S.K. Is currently the subject of a trial at Vienna's commercial court. This article examines how a single instrument CVA calculation for Swap 4175 could be carried out. In such a CVA calculation, market risk and counterparty risk are coupled.

CQF Turns Eleven
Wilmott Magazine

As the Certificate in Quantitative Finance marks its 11th year we take a look at the history of a program that has built a reputation on delivering far beyond expectations.

Knock-in/out Margrabe: Wilmott Magazine Article
Espen G. Haug and Jørgen Haug 3914 Views

In this paper we push the Black-Scholes-Merton (BSM) formula to the limit by using it to value exchange-one-asset-for-another options with knock-in or knock-out provisions that depend on the ratio of the two asset prices. These option contracts are relevant to investors and traders concerned with the relative performance of securities, and they crop up in M&As.

RiskMinds Asia 2014 - 17-20 November, St Regis, Singapore - 15% Wilmott Discount
RiskMinds Asia 2014
17-20 November, St Regis, Singapore

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Basel III - A Roadmap For The Regions
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Connecting The Risk Engine Room To The Boardroom
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