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.

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Matthias Arnsdorf – 24/11/20

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