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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.

Hedging under SABR Model: Wilmott Magazine Article
Bruce Bartlett 2346 Views

In this note we take a fresh look at the delta and vega risks within the SABR stochastic volatility model Hagan et al. (2002). These risks can be hedged more precisely by adding new terms to the formulas contained in the original SABR paper. The effect of these new terms is minimized when one hedges both vega risks and delta risks, but are substantial when only delta is hedged.

[First published in issue 24 of Wilmott - July 2006]

Global Derivatives & Risk Management 2015 | 18-22 May, 2015. Hotel Okura, Amsterdam - 15% Wilmott Discount
Global Derivatives & Risk Management 2015
18-22 May, 2015. Hotel Okura, Amsterdam

15% Discount for readers - VIP Code: FKN2428WILW

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