More on Valuation Adjustments and XVAs

In April 2018, ISDA published its latest Margin Survey, which indicated a significant increase in the amount of...
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:...
Pathwise XVA Greeks
Price sensitivities to risk factors, otherwise known as Greeks, have recently been just as challenging to...
Presented at Numerix next 2017 | October 2017
This presentation entitled “Update on SIMM and Margining” was given...

Pages