More on Valuation Adjustments and XVAs

If firms are to meet the market’s requirements for the future, the steps to transform a legacy risk environment...
Efficient SIMM-MVA Calculations for Callable Exotics - See more at: https://www.numerix.com/quantitative-research-...
Presented at the Asia Risk Congress | September 2017
This presentation entitled “Efficient MVA by Backward...
MVA: Rationale and Practical Calculations as Margining Rules Tighten
In the wake of regulatory initial margining...
Over the last decade, the banking industry has had to traverse immense change, particularly regulatory changes...
The conundrum of XVA is that it seems to have no end game. Over recent years, we have seeing a steady output of...
Presented at the Risk Management and Trading Conference | June 2017
This presentation entitled “Implementing CVA...
PV and XVA Greeks for Callable Exotics: A New Approach to Algorithmic Differentiation
Pricing and risk management...
Presented at Global Derivatives | May 2017
This presentation entitled “Algorithmic Differentiation For Callable...
FRTB (Fundamental Review of the Trading Book) represents the most significant market risk regulatory change in at...

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