Download this Complimentary Numerix Quantitative Research PAPER

In this research paper by the Numerix Quantitative Development Team, details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level.

The methodology for FVA proposed by Numerix in this paper expands upon Vladimir Piterbarg’s framework for valuation in the presence of real collateral.1 This Numerix approach is one of the first that allows the computation of the FVA calculation for arbitrary instrument types; even the most complex and bespoke instruments with optionality, callability and triggers. It also allows for an efficient deal-by-deal computation, which is attractive for parallelization.

Built on the same foundational analytics and algorithmic approach for calculating Counterparty exposure2, American Monte Carlo is employed to determine the distribution of prices under future dates resulting in accurate, real-time FVA computations for both exotics and vanilla instruments.

____________________________

1Vladimir Piterbarg (2010), “Funding beyond discounting: collateral agreements and derivatives pricing,” RISK, Feb.
2Alexandre Antonov, Serguei Issakov and Serguei Mechkov (2011) "Algorithmic Exposure and CVA for Exotic Derivatives."

Download Numerix Research Paper

Complete the form below to download this complimentary research paper.

Select Form: 

Form #5: Research

Keep me informed of future research from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
conference

QuantMinds International 2023

on-demand webinar

Risk.net On-Demand Webinar | XVAs and Counterparty Credit Risk for an Energy Market in Crisis

on-demand webinar

Machine Learning for Market Data Anomaly Detection & Gap Filling

on-demand webinar

On-Demand Solution Webinar | Turbo-charging XVA Greek Calculations

conference

QuantMinds International 2022

video blog

Numerix: Pushing Boundaries to Create Breakthrough Technology

white paper

White paper | Technology and Human Disruptors Impacting the Capital Markets

white paper

Article | A Few Insights into Crypto Risk

product

Institutional-Grade Crypto Analytics and Real-Time Risk Management

white paper

White paper | The State of XVA Usage in Latin America – A 2022 Update

white paper

White paper | Decrypting Crypto: Explaining the Market and Understanding the Requirements for...

news - article pdf - Jun 1, 2022

Numerix Wins Best Implementation at a Sell-Side Firm : WatersTechnology Sell-Side Technology Awards...