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University of Toronto - Rotman School of Management
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Derivatives, FVA, Fair Value
Credit derivatives, correlation, structural model, CDO, valuation
LIBOR, OIS, Derivatives, Discounting
risk-neutral default probabilities, historical default probabilities, credit default swaps
Real World Measure, Market Price of Risk, PFE, CVA, Limits, Liquidity, Solvency II, Interest Rate Models, Short Rate, Monte Carlo, Long Term Simulation, Potential Future Exposure, Joint Measure
Derivatives Pricing, Collateral, Credit Risk, CVA, DVA, FVA
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collateral agreements, over-the-counter derivatives transactions, collateral agreements
OIS, LIBOR, Swaps, Swaptions, Caps, Interest Rate Trees
Options, delta, vega, gamma, minimum variance, stochastic volatility
Interest Rate Models, Short Rate, Trees, Derivatives
employee compensation, MSU, RSU, option, valuation
OIS, LIBOR, interest rate trees, multi-curve modeling
Term Structure, No-Arbitrage Model, Tree, Alternative Drift Functions, Real World, Risk-Neutral World, Negative Interest Rates
LIBOR, OIS, derivatives, discounting
Derivatives, Credit Derivatives Markets and Instruments, Modeling and Pricing Credit Derivatives, Portfolio Management, Risk Management, Risk Management, Portfolio Risk Management, Fixed Income
CDO, implied copula, parameterization, bespokes
Fixed Income, Structured Products, Asset-Backed Securities (ABS), Collateralized Debt Obligations (CDOs)
Merton's model, credit risk, volatility skews, credit default swap market
Equity Investments: fundamental analysis and valuation models; Financial Statement Analysis: accounting and financial reporting issues
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