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.
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. - See more at: https://www.numerix.com/numerix-journal-vol-2-no-2#sthash.3x8Hxhve.dpuf
TABLE OF CONTENTS
Editors Note
ARTICLES
KVA: Economic Rationale and Numerical Methods for Basel III CCR and CVA Capital Charges
Real-World Estimation for the Black, Heston, Bates, Hull White 2F, and CIR 2F Models
Evaluating Regulatory 'Fitness for Purpose' With The Hedge Performance Test
Featured Article on Numerix Products and Services
Introduction to Numerix Model Validation Services
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