In Vol 3 No 1 Issue of the Numerix Journal, we explore the economic rationale and numerical methods used to address the KVA problem. We also discuss the techniques used by Numerix to calibrate a number of FX and interest rate models under the real-world measure. We examine the Hedge Performance Test as a method of evaluating regulatory “fitness for purpose” of a model. And lastly, we provide an introduction to Numerix Model Validation Services and Model Validation Studio, a platform developed to increase the efficiency of large-scale model validation projects.
The Numerix Journal is a periodic publication of research papers, articles, and shorter pieces on quantitative finance and financial software. The goal of the Journal is to serve as a forum for the introduction of new research, modeling methodologies, and presentation of performance and benchmark studies.
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White paper | Six Themes that Characterize Trading in the Energy Markets Today
Derivative Insider Series Webinar
Risk.net On-Demand Webinar | XVAs and Counterparty Credit Risk for an Energy Market in Crisis
Numerix Journal Vol. 8, No. 1
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On-Demand Solution Webinar | Turbo-charging XVA Greek Calculations
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White paper | Analyzing the Global Usage of XVAs: the Similarities and Differences Across Regions...
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