The manner in which wind generation can affect the half-hourly APX price is discussed
Two RBC quants propose a way to value CSAs with more than two currency posting options
Vladimir Piterbarg considers a non-linear partial differentiation equation that appears in a number of XVA-related contexts, including a one-way credit-support annex, credit value adjustment with risky closeout, option pricing with differential borrowing…
Vladimir Sankovich and Qinghua Zhu develop a method to value cheapest-to-deliver option embedded in CSAs
Quants develop a hassle-free model that can handle negative interest rates
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
A framework that demonstrates optimal internal pricing will deviate from ‘arm’s length principle'
HSBC quant develops an FVA model that preserves the law of one price
Kenyon and Green show how certain technical elements simplify XVA management
Wujiang Lou calculates CVA and FVA abiding by the law of one price
A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed
Quants at UBS show how to speed up the calculation of sensitivities without tearing up legacy code
Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav…
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs
Realistic models not necessarily a prerequisite for successful risk management