Download this Complimentary Numerix Quantitative Research Paper

In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps. It is based on a “thin-out” procedure applied to fixed payment streams, which reduces a very frequent stream of payments to a much less frequent one.

The procedure requires careful handling of the path-dependence that arises from the floating legs of the swaps. We compute the exposure and CVA for a large portfolio of fixed-for-floating swaps, and find that our approximation reduces the computation time for the portfolio to that of a single swap, with a roughly annual schedule. Moreover, the approximation maintains a particularly high accuracy.

Our technique is entirely model independent and can be applied to various instruments such as FX-forwards, cross-currency swaps etc.

Authors: Alexandre Antonov and Dominic Brecher

Download Numerix Research Paper

Complete the form below to download this complimentary research paper.

Select Form: 

Form #5: Research

Keep me informed of future research from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
on-demand webinar

On-Demand Webinar | Advances in Counterparty Credit Risk Modelling in Energy Markets

in the news - Jun 30, 2021

Numerix - Best Analytics Solution – WatersTechnology Asia Awards 2021

white paper

White paper | Real-Time Risk Management in Practice: The Experts’ Views

conference

QuantMinds in Focus

on-demand webinar

Quantitative R&D Innovations Update

press release - Dec 2, 2020

Numerix Pricing & Risk Solutions Win Several Industry Awards Across Asia-Pacific

next 2020 session video

Numerix Quantitative Research and Development Roundtable Discussion

white paper

White paper | How the Complexity of Today’s Business Reality May Demand a Cloud Services Approach

white paper

Impact Report | The Current State of XVA Usage in Latin America

industry conference

QuantMinds International 2020

in the news - Aug 4, 2020

Numerix - Best Risk Management Solution: WatersTechnology Asia Awards 2020

in the news - Aug 21, 2020

WatersTechnology Asia Awards 2020 Winner's Interview: Erdem Özgül and Stephen Cheng, Numerix