Computing valuation adjustments for counterparty credit risk using a modified supervisory approach (Q2211014)
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scientific article; zbMATH DE number 7272118
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| English | Computing valuation adjustments for counterparty credit risk using a modified supervisory approach |
scientific article; zbMATH DE number 7272118 |
Statements
Computing valuation adjustments for counterparty credit risk using a modified supervisory approach (English)
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10 November 2020
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counterparty credit risk
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credit valuation adjustments (CVA)
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credit exposure
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standardized approach for measuring counterparty credit risk exposures (SA-CCR)
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0.8092455863952637
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0.7976213693618774
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0.7717259526252747
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0.7686818242073059
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0.766348123550415
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