With deadlines for Basel III implementation on the imminent horizon, market practitioners around the globe are faced with challenges when it comes down to computing complex risk and credit exposure calculations for both vanilla and exotic derivative instruments. While there may be a consensus on how to compute price, there are various approaches to achieving risk computations that don’t always agree with each other. Calculating exposure in parallel with pricing enables a unified, more efficient approach to be taken, when it comes to computing complex risk measures.

In this webinar, we discuss an algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments. Assuming that the portfolio is priced by the backward (American) Monte-Carlo method, our approach allows calculating the credit exposure as a pricing by-product, essentially without modifications in the usual pricing procedure. We discuss how the algorithmic approach is advantageous for exotic instruments. In addition, we uncover how exposure calculation for vanilla instruments can be further optimized using our new “thin-out” method. Indeed, we have managed to reduce exposure computation time for a large portfolio of vanilla swaps to a single swap with nearly annual schedule; with the approximation quality of the “thin-out” procedure particularly high.

On October 18, 2012 Dr. Alexandre Antonov, Senior VP of Quantitative Research at Numerix, explored a new quantitative approach for reducing exposure computation times for both vanilla and exotic instruments, including the following:

  • Algorithmic approach for Counterparty exposure calculation

  • Calculating credit exposure as a pricing by-product

  • Exposure calculation for exotics

  • Exposure calculation for vanillas

  • New "thin-out" method for vanillas

To view the webinar replay, just register on the right side of this page.

Featured Numerix Speakers:
Alexandre Antonov, Senior Vice President, Quantitative Research, Numerix
Alexandre Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997 and joined Numerix in 1998, where he currently works as a Senior Vice President of Quantitative Research. His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and CVA. Dr. Antonov is a published author for multiple publications in mathematical finance, including RISK magazine and a frequent speaker at financial conferences.

Moderator: Jim Jockle, Chief Marketing Officer
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

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