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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.

Storing Arb: Wilmott Magazine Article
Hyungsok Ahn, Albina Danilova & Glen Swindle 4620 Views

 

In natural gas markets,demand exhibits low price elasticity,while supply follows the market price;a phenomenon typically observed in markets for indispensable goods.

A significant portion of gas consumption is due to heating and increasingly power generation, which sets a typical demand pattern:high in winter and summer ('high'seasons) and low in shoulder months ('low'seasons).

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