Leif Andersen Gives Talk on “Funding and Counterparty Credit Costs for CCP and OTC Trading”
On May 1, Leif Andersen (BAML & NYU Courant) gave a talk on funding and counterparty credits costs for CCP and OTC trading. He discussed practical ways to measure credit and funding costs in the markets, and presented new theory for certain classes of locally elliptical processes. In this framework, he showed how this theory can be used to generalize Ito processes and to conveniently calculate CVA and MVA in a fat-tailed cases.
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