BAML's Lipton: discrete models essential to cut CVA computation costs – Video

Using a discrete model to calculate the credit value adjustment (CVA) of a portfolio is essential in order to reduce the hugely punitive computational cost, according to a top quantitative analyst speaking in an exclusive video interview with Risk.

The use of models that use fixed steps for both time evolution and underlying price movements is necessary in order to produce daily CVA calculations, says Alex Lipton, co-head of the global quantitative group at Bank of America Merrill Lynch.


Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

Sign up here


This address will be used to create your account

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: