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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.

Hedge Fund Scenario Analysis
Bill Ziemba 4904 Views

This issue of Wilmott focuses on hedge funds so my column on scenario generation and aggregations discusses these issues in the context of the mid April 2004 stock market. There will be more on the technical aspects of the latter topic, as well as more on valuation measures, in my next two columns. I will focus on the US and SP500 index as that's the most important in the world and greatly influences other markets.

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