Download Numerix Slide Presentation

Presented at Quant Congress USA | July 2011

At the 9th annual Quant Congress USA, Dr. Alexander Antonov, Senior Vice President, Quantitative Research at Numerix, presented “Risk and CVA for Exotic Derivatives: the Universal Modeling.”

The presentation addressed key issues such as:

  • Calculation of the portfolio exposure in a self-consistent way using arbitrage-free model calibrated to both implied market and real-world projections
  • A new automatic method of exposure calculations (at the same time as pricing) especially attractive for exotic portfolios avoiding cumbersome exercise aggregation
  • And the efficient CVA calculation using the simulated information

Download Slides

Complete the form below to download this slide deck from Dr. Antonov's July 2011 Quant Congress USA presentation.

Select Form: 

Form #4: Conference Presentation

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

* Required fields
conference

QuantMinds International 2023

conference

Risk Japan 2023

on-demand webinar

Risk.net On-Demand Webinar | XVAs and Counterparty Credit Risk for an Energy Market in Crisis

on-demand webinar

Machine Learning for Market Data Anomaly Detection & Gap Filling

on-demand webinar

On-Demand Solution Webinar | Turbo-charging XVA Greek Calculations

conference

QuantMinds International 2022

video blog

Numerix: Pushing Boundaries to Create Breakthrough Technology

white paper

White paper | Technology and Human Disruptors Impacting the Capital Markets

white paper

Article | A Few Insights into Crypto Risk

product

Institutional-Grade Crypto Analytics and Real-Time Risk Management

white paper

White paper | The State of XVA Usage in Latin America – A 2022 Update

white paper

White paper | Decrypting Crypto: Explaining the Market and Understanding the Requirements for...