More on Valuation Adjustments and XVAs



XVAs are deeply engrained in the derivatives business today. Whether a financial institution is quantifying them...

                        
Riesgo de Contraparte para Latinoamerica (CVA)
Desde la crisis de 2007/2008, el Riesgo...
By Andrew McClelland, Ph.D., Director of Quantitative Research, Numerix
 
In April 2018, ISDA published its latest...
This Risk.net 2018 XVA Special Report addresses a number of the hot button issues that continue to challenge the...

XVA, in the simplest terms, is about capturing the costs of running an OTC derivatives operation. However, it is...

                        
Riesgo de Contraparte para Latinoamerica (CVA)
Desde la crisis de 2007/2008, el Riesgo...
Roundtable Discussion: The 'State of the State' of XVA Front-Office Risk Management
For both the sell-side and buy...
Presented at Risk Japan | June 2018
This presentation entitled “Margin Value Adjustment and Adjoint...


By Dr. Andrew McClelland, Director of Quantitative Research, Numerix
 
Managing xVAs is complex, and that...
Presented at QuantMinds International | May 2018
This presentation entitled “AD-on-LSMC for MVA and CVA Greeks:...

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