EPISODE · Nov 27, 2020 · 28 MIN
Matthias Arnsdorf – 24/11/20
from Quantcast – a Risk.net Cutting Edge podcast · host Quantcast – a Risk.net Cutting Edge podcast
Matthias Arnsdorf talks about how to adjust the capital valuation adjustment. The JP Morgan quant proposes an alternative calculation that would reduce the charge by an order of magnitude.
What this episode covers
Matthias Arnsdorf talks about how to adjust the capital valuation adjustment. The JP Morgan quant proposes an alternative calculation that would reduce the charge by an order of magnitude.
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Matthias Arnsdorf – 24/11/20
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