Articles by Matthias Arnsdorf
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
Bayesian backtesting for counterparty risk models
Utilising Bayesian methods, the authors put forward a new means for counterparty risk model backtesting which is both simple to implement and conceptually sound.
KVA as a transfer of wealth
A capital valuation adjustment designed to preserve a firm’s value to shareholders is introduced