Lorenzo Silotto

Deloitte Consulting Srl

Via Tortona 25

Milano, 20144

Italy

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Scholarly Papers (1)

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Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask

Number of pages: 60 Posted: 24 Jul 2021 Last Revised: 10 Sep 2021
Lorenzo Silotto, Marco Scaringi and Marco Bianchetti
Deloitte Consulting Srl, Intesa Sanpaolo - Financial and Market Risk Management and Intesa Sanpaolo - Financial and Market Risk Management
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Abstract:

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Interest Rates, XVA, CVA, DVA, AVA, Prudent Valuation, Model Risk, Market Risk, Counterparty Risk, Model Validation, Credit Exposure, Variation Margin, Initial Margin, ISDA-SIMM, Swaps, Swaptions, Derivatives