Etienne Koehler

Université Paris I Panthéon-Sorbonne

Prof PAST

17, rue de la Sorbonne

Paris, IL 75005

France

SCHOLARLY PAPERS

2

DOWNLOADS

491

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

CVA-VaR

Number of pages: 19 Posted: 06 Jun 2011 Last Revised: 14 Feb 2012
Shahram Alavian and Etienne Koehler
Royal Bank of Scotland (RBS) and Université Paris I Panthéon-Sorbonne
Downloads 332 (91,270)

Abstract:

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CVA, VaR, Basel III, Regulatory Capital

2.

Collateral Risk for Fair Valuation and CCR Capital

Number of pages: 12 Posted: 23 Nov 2015 Last Revised: 14 Dec 2015
Etienne Koehler and Anton Simanenka
Université Paris I Panthéon-Sorbonne and Independent
Downloads 159 (187,695)

Abstract:

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OTC, derivatives, uncleared transactions, mathematical modeling, collateral, collateral risk, collateral multiplier, Credit Support Annex (CSA), fair value, xVA, capital