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Homecredit valuation adjustment

How Covid-19 sent a shiver through bank balance sheets

28 May 2020Bankscounterparty credit risk, credit valuation adjustment, Federal Reserve, mortgage-backed securities, quantitative easing, stress VaR, Value-at-riskNick Dunbar

In value-at-risk models, counterparty exposure and securities holdings, the impact of the pandemic appears across bank balance sheets

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