Long-Term Portfolio Simulation: For XVA, Limits, Liquidity - download pdf or read online

By Alexander Sokol

This publication written via best specialist, Alexander Sokol, offers a finished reference of industry perform and complex strategies for developing and calibrating long term portfolio simulation models.

Long-Term Portfolio Simulation is a must-read for an individual facing the original demanding situations of simulating huge portfolios over very long time horizons within the context of CVA, investment, liquidity, collateral optimisation, PFE-based limits and regulatory capital.

The alterations in monetary markets and regulatory surroundings following the monetary quandary created many new analytics requirements.

These specifications comprise these for computing CVA. moreover, complicated restrict administration in line with strength destiny publicity (PFE) has taken an elevated position following the predicament. Calculation of PFE-based limits additionally calls for simulation of portfolio to adulthood in both chance impartial or genuine degree. different vital standards contain modelling investment (FVA), collateral wishes and least expensive to bring collateral, and projection of portfolio cashflows for liquidity management.

Previously lots of those calculations have been in basic terms played by means of the biggest promote aspect enterprises. Now, so much of them also are required via small and medium banks, in addition to asset managers and corporates.

These new standards can merely be met by way of acting direction constant Monte Carlo simulation of portfolios concerning loads of chance components over very long time horizon (up to and exceeding 30 years).

Written by means of specialist Alexander Sokol, this is often the 1st ebook to concentration in particular on version building and calibration for long term portfolio simulation. The ebook deals insider wisdom and methods for the original modelling methodologies required in simulating whole portfolios.

The booklet will deal with the subsequent themes for a number of asset periods, together with rate of interest, move foreign money and hybrid, CDS and credits items, and based products:

Methodology fundamentals
Risk impartial models
Real global models
Margin interval of risk
General other way risk
Systemic other way risk
Cashflow aggregation
American Monte Carlo
CVA and funding
Collateral optimisation
Liquidity and PFE-based limits
Regulatory capital

Long-Term Portfolio Simulation is a complete reference for quants liable for development types for CVA, PFE, limits, liquidity, or investment, in addition to these auditing and reviewing the models.

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Long-Term Portfolio Simulation: For XVA, Limits, Liquidity and Regulatory Capital by Alexander Sokol


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