Frank Juan

JP Morgan Chase

Executive Director

London

United Kingdom

SCHOLARLY PAPERS

2

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Top 13,900

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SSRN CITATIONS

1

CROSSREF CITATIONS

6

Scholarly Papers (2)

1.

Credit Value Adjustment and Funding Value Adjustment All Together

Number of pages: 21 Posted: 08 Apr 2011
Dongsheng Lu and Frank Juan
The Bank of New York Mellon and JP Morgan Chase
Downloads 3,277 (3,532)
Citation 2

Abstract:

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CVA, FVA, Derivative Valuation

2.

An Efficient, Distributable, Risk Neutral Framework for CVA Calculation

Number of pages: 18 Posted: 03 Oct 2010
Dongsheng Lu and Frank Juan
The Bank of New York Mellon and JP Morgan Chase
Downloads 501 (60,928)
Citation 5

Abstract:

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Counterparty credit risk, CVA, numerical computation