Estimating Cross-Model Correlations for CCR & XVA

QuantMinds International 2021: On-Demand Webinar

The QuantMinds International event held on December 9, 2021 brought together leading quant practitioners and academics to focus on some of the key pillars of quant finance, including generating alpha through quant strategies, the IBOR transition, risk management, modelling, XVA pricing, algo trading, and more.

At the conference, Numerix’s Andrew McClelland, SVP of Quantitative Research, delivered a presentation titled Estimating Cross-Model Correlations for CCR & XVA. During the presentation, he addressed the following:

  • Defining cross model correlations and looking at how they would work in the PCA (principal components analysis) world and why cross model correlations are required to generate certain portfolio scenarios.
  • How these correlations are crucial in CCR & XVA risk settings and the ways parameter values can significantly affect pricing, risk capacity, etc.
  • A look at extending a PCA analogy for pricing models.
  • Explores an approach based on extracting factor innovations from historical data, inspired by PCA.
  • An approach that reduces simple regressions onto model-specific response profiles.

Watch this on-demand video presentation today.

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