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Total value adjustment in a multicurrency framework with stochastic exchange rates and mean-reversion spreads

Íñigo Arregui et al.

Journal of Computational Finance2025https://doi.org/10.21314/jcf.2025.005article
AJG 1ABDC C
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0.50

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https://doi.org/https://doi.org/10.21314/jcf.2025.005

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@article{íñigo2025,
  title        = {{Total value adjustment in a multicurrency framework with stochastic exchange rates and mean-reversion spreads}},
  author       = {Íñigo Arregui et al.},
  journal      = {Journal of Computational Finance},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.21314/jcf.2025.005},
}

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Total value adjustment in a multicurrency framework with stochastic exchange rates and mean-reversion spreads

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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