Tag Archives: implied volatility

Historical or implied?

Posted on November 13, 2009 by Cyril

To calculate counterparty exposure, we need to calibrate our scenario generator to historical data. However, for CVA calculations, we need scenarios based on implied volatilities of the underlying risk factors. Continue reading →

Posted in Finance | Tagged counterparty exposure, credit value adjustment, CVA, EAD, historical volatility, implied volatility | Leave a comment

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Tag Archives: implied volatility

Historical or implied?

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