Shahram Alavian

Royal Bank of Scotland (RBS)

CVA Quantitative Group

135, Bishopsgate

EC2M 3UR London

United Kingdom

http://www.shahramalavian.net

Barclays Capital

Quantitative Analytics

5 Colonade

London E14 5LE

United Kingdom

Toronto-Dominion (TD) Bank Financial Group - TD Securities

6th Floor

TD Tower, 66 Willington Street West

Toronto, Ontario M5K 1A2

Canada

Lehman Brothers Europe

Credit Risk Analytics

London

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS
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SSRN RANKINGS

Top 12,791

in Total Papers Downloads

3,655

CITATIONS
Rank 27,154

SSRN RANKINGS

Top 27,154

in Total Papers Citations

15

Scholarly Papers (10)

1.

Credit Valuation Adjustment (CVA)

Number of pages: 22 Posted: 02 Dec 2008 Last Revised: 19 Oct 2010
Royal Bank of Scotland (RBS), Lehman Brothers, Lehman Brothers and Lehman Brothers
Downloads 2,281 (5,657)
Citation 12

Abstract:

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2.

Funding Value Adjustment (FVA)

Number of pages: 15 Posted: 14 Jun 2011 Last Revised: 10 Feb 2014
Shahram Alavian
Royal Bank of Scotland (RBS)
Downloads 663 (37,861)
Citation 3

Abstract:

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funding value adjustment, funding cost, fair value adjustment, CVA

3.

CVA-VaR

Number of pages: 19 Posted: 06 Jun 2011 Last Revised: 14 Feb 2012
Shahram Alavian and Etienne Koehler
Royal Bank of Scotland (RBS) and Université Paris I Panthéon-Sorbonne
Downloads 325 (91,153)

Abstract:

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CVA, VaR, Basel III, Regulatory Capital

4.

Fair Value and FVA – A Quant's Perspective

7th Annual Credit Risk in Banking Summit, Berlin, February 6, 2014
Number of pages: 20 Posted: 09 Feb 2014
Shahram Alavian
Royal Bank of Scotland (RBS)
Downloads 103 (256,509)

Abstract:

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FVA, DVA

5.

Handling Exotic Positions for Counterparty Risk Management

Number of pages: 11 Posted: 13 Jun 2010
Shahram Alavian
Royal Bank of Scotland (RBS)
Downloads 82 (296,685)

Abstract:

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Counterpaty; Exotic Trades, Expected Exposure, Potential Future Exposure

6.

A More Generic Scenario Engine for Risk Measurement

Number of pages: 18 Posted: 04 Jun 2009 Last Revised: 06 Jul 2009
Shahram Alavian
Royal Bank of Scotland (RBS)
Downloads 70 (324,939)

Abstract:

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Monte carlo Simulation, Risk Management

7.

Extension of Black-Scholes Equation for Derivatives with Time Dependent Payoff Specifications

Number of pages: 7 Posted: 05 Apr 2010
Shahram Alavian
Royal Bank of Scotland (RBS)
Downloads 69 (327,488)

Abstract:

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8.

A Crude Estimation of XVA Sensitivities

Number of pages: 5 Posted: 24 Jan 2019
Shahram Alavian
Royal Bank of Scotland (RBS)
Downloads 35 (438,916)

Abstract:

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XVA, XVA Sensitivities, CVA, CVA Sensitivities, CVA-FRTB, XVA Greeks, CVA Greeks

9.

An Analytical Expression for a Class of Parametric Payoff Functions

Number of pages: 17 Posted: 05 Apr 2010
Shahram Alavian
Royal Bank of Scotland (RBS)
Downloads 27 (475,803)

Abstract:

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10.

Rolli'n Back in Monte Carlo

Posted: 17 Jun 2011
Shahram Alavian
Royal Bank of Scotland (RBS)

Abstract:

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Longstaff-Schwarts, LSM, Monte Carlo, Stopping Time, Bermudan option, American Option