Vadim Borue

Independent

SCHOLARLY PAPERS

4

DOWNLOADS

227

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Simple Way of Conservatively Estimating Credit Exposure under Dynamic Initial Margins

Number of pages: 11 Posted: 10 Jul 2019
Vadim Borue
Independent
Downloads 102 (363,023)

Abstract:

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Dynamic Initial Margins, Counterparty Credit Risk, CVA, MVA, OTC, SIMM, SA-CCR, Financial Regulation

2.

Parsimonious Credit Risk Pricing Model for Corporate Bonds and Credit Derivatives Markets

Number of pages: 36 Posted: 18 Nov 2021
Vadim Borue
Independent
Downloads 54 (514,744)

Abstract:

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Credit Risk Model, Corporate Bonds, High yield callable bonds, OAS, Credit Derivatives

3.

CCAR Consistent WWR for CVA and Capital

Number of pages: 7 Posted: 11 Jul 2019
Vadim Borue
Independent
Downloads 42 (570,910)

Abstract:

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CCAR, WWR, CVA, Counterparty Credit Risk, Regulatory Capital

4.

Chebyshev Polynomials as a Basis for HJM Simulation of Hazard Rate Curves

Number of pages: 14 Posted: 30 Oct 2018
Vadim Borue
Independent
Downloads 29 (646,303)

Abstract:

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Chebyshev Basis, HJM Simulation