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Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades
Completing CVA Liquidity Firm-Level Positions Collateralized Trades
2010/10/21
Bilateral CVA as currently implement has the counterintuitive effect of profiting from one's own widening CDS spreads, i.e. increased risk of default, in practice. The unified picture of CVA and liqu...