Kenyon and Green show how certain technical elements simplify XVA management
Quants at UBS show how to speed up the calculation of sensitivities without tearing up legacy code
More Technical papers/Derivatives articles
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Wujiang Lou shows the impact of funding costs on option valuation
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.