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

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