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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

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