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Best practices for XVA calculation, P&l explain and hedge

Published by Iggaak on 24/01/202324/01/2023

As part of the development of the Investment Bank of a large public bancassurer, XVA materiality has been continuously increasing, leading the Bank to seek best practices in management, hedging and measurement of residual risks. In addition, Iggaak advised the bank on CVA/DVABasel IV regulatory developments.

Categories: Financial ServicesXVA
Tags: Bilateral CVACDSClose-out nettingCredit RiskCVADVAKVAMarket RiskUnilateral CVAWrong-way RiskXVAXVA DeskXVA Sensitivities

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