Global Capital | April 8, 2014 | By Mohit Agarwal, Numerix Financial Engineering Group

In this authored article, Mohit Agarwal of Numerix discuses American Monte Carlo as today’s modern approach to simulation technology; using hybrid models that jointly simulate underlying risks factors across asset classes with accounting for correlations between those risk factors. He discusses fast and efficient methods to calculating CVA under Basel III.

Need Assistance?

Want More From Numerix? Subscribe to our mailing list to stay current on what we're doing and thinking

Want More from Numerix?

Subscribe to our mailing list to stay current on what we're doing and thinking at Numerix

Subscribe Today!