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Home / Fca and Fba enhancements

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  • #6229
    Anonymous
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    Dear all!

    As we learned that some banks calculate fva excluding their own survival probability and some even both, I’ve added 4 additional columns to the xva report reflecting those 2 possibilities for fca and fba each.
    At the same time I’ve also corrected the fca/fba mix up that seemed to have slipped back in with release 3.

    Regards,
    Roland

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