Presented at the Asia Risk Congress | September 2017

This presentation entitled “Efficient MVA by Backward Differentiation” was given by Dr. Alexandre Antonov of Numerix at the Asia Risk Congress in Singapore on September 26th.

The presentation addresses:

  • Initial margin (IM) and its projection to the future; MVA as a future IM interest
  • Complexity of the MVA: one needs the portfolio sensitivities calculation for each scenario and observation date
  • Particular difficulties with structured products: brute force MVA calculation time is unacceptably long
  • Known approximations to the MVA
  • A new efficient method for the exact MVA calculation based on the future differentiation
  • Numerical experiments for a Bermudan Swaption MVA: massive acceleration using the new method with respect to the brute force

 

Numerix Presenter Bio:

Dr. Alexandre Antonov, SVP Global Head Quantitative Research, Numerix

Dr. Antonov holds the honor of Risk Magazine's 2016 Quant of the Year. He first began studying Physics and Mathematics at the Moscow Institute of Physics and Technology, followed by the Landau Institute for Theoretical Physics (PhD in 1997) and The Laboratory of Theoretical and High Energy Physics at the University of Paris VI. In March 1998 Alexandre he joined Numerix based in Paris taking on a number of positions during his tenure with the company including Quantitative Analyst, Senior Quantitative Analyst, Vice President and Senior Vice President. During the course of his career Dr. Antonov has had over twenty articles published in industry journals, including six that have appeared on the pages of Risk Magazine.

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