Banks look to cut corners on CVA computation

Cutting CVA corners

Thomas Wilson

Todya's computers are being pushed to their limits by modern pricing and risk management practices, which often rely on stochastic analysis in the form of Monte Carlo simulation. These processes require the value of trades and portfolios to be calculated for a range of subtly differing scenarios. That generally takes massed computing power in the form of networked grids of processors – but it is not always enough.

Certain portfolios or products can require additional stochastic analysis if their

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