Risk.net | October 1, 2015 | By Nazneen Sherif

Numerix's Antonov is quoted as saying "For the multi-currency case, there were no analytical approximations before—they are the first," regarding the  two RBC quants that proposed a way to value CSAs with more than two currency posting options. 

Cutting edge introduction: Expanding collateral options

Related Content

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!