Presented at RiskUSA | November 2012

This slide presentation from RiskUSA  in November 2012, presented by 
Dr. Serguei Issakov at RiskUSA, will address:

  • Foundation of Monte Carlo simulation of counterparty exposure: hybrid model and American Monte Carlo method
  • Algorithmic exposure vs direct simulation
  • Real world measure model calibration: matching future values of indexes and rates
  • Optimizations for large portfolios of linear instruments - superswap concept: single currency swaps, FX Forwards, cross currency swaps
  • Primary and secondary factors, factor loading
  • Implementation details: netting and collateral logic for multiple counterparties in bilateral setting, Basel III and beyond


Serguei Issakov, Global Head of Quantitative Research, NUMERIX

Download Slides

Complete the form below to download this slide deck from Serguei Issakov's November 2012 RiskUSA presentation.

Select Form: 

Form #4: Conference Presentation

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

* Required fields

QuantMinds International 2023


Risk Japan 2023

on-demand webinar 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


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


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...