Presented at Risk Japan | June 2018

This presentation entitled “Margin Value Adjustment and Adjoint Differentiation” was given by Ping Sun of Numerix at Risk Japan in Tokyo on June 6th.

The presentation addressed:

  • Requirements in computation of future sensitivities along simulated scenarios in MVAs
  • Application of the adjoint differentiation method
  • Algorithmic Exposure approach based on the Least Squares Monte Carlo simulation
  • Illustrative numerical example


Numerix Presenter Bio:

Liang Wu, Vice President of Financial Engineering and Head of CrossAsset Product Management at NumerixPing Sun, Senior Vice President of Financial Engineering, Numerix
Dr. Ping Sun is SVP of Financial Engineering and Head of the Numerix Financial Engineer Team in the U.S. He is also the product manager of Numerix Cross Asset. Dr. Sun works with clients to help solve their derivative pricing and risk management challenges. Dr. Sun’s extensive experience includes publications in academic oriented journals, academic lecturing. During his career at Numerix, he also served as a Consultant and FX/EQ Desk Quant for the Lehman Brothers estate. Dr. Sun was a postdoctoral fellow at Rutgers University, and he earned a doctorate degree in Physics from City College of New York.

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