Shahram Alavian

Barclays Capital

Quantitative Analytics

5 Colonade

London E14 5LE

United Kingdom

Royal Bank of Scotland (RBS)

CVA Quantitative Group

135, Bishopsgate

EC2M 3UR London

United Kingdom

http://www.shahramalavian.net

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

  • Barclays Capital

    • Email
    • Tel: 022031346761

  • Royal Bank of Scotland (RBS)

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

  • Lehman Brothers Europe

SCHOLARLY PAPERS

10

DOWNLOADS
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4,384

SSRN CITATIONS

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CROSSREF CITATIONS

15

Scholarly Papers (10)

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1.

Credit Valuation Adjustment (CVA)

Number of pages: 22 Posted: 02 Dec 2008 Last Revised: 19 Oct 2010
Shahram Alavian, Shahram Alavian, Jie Ding, Peter Whitehead and Leonardo Laudicina
Barclays CapitalRoyal Bank of Scotland (RBS), Lehman Brothers, Lehman Brothers and Lehman Brothers
Downloads 2,517 (11,103)
Citation 16

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 and Shahram Alavian
Barclays CapitalRoyal Bank of Scotland (RBS)
Downloads 730 (68,959)
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, Shahram Alavian and Etienne Koehler
Barclays CapitalRoyal Bank of Scotland (RBS) and Université Paris I Panthéon-Sorbonne
Downloads 407 (141,296)

Abstract:

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CVA, VaR, Basel III, Regulatory Capital

4.

Handling Exotic Positions for Counterparty Risk Management

Number of pages: 11 Posted: 13 Jun 2010
Shahram Alavian and Shahram Alavian
Barclays CapitalRoyal Bank of Scotland (RBS)
Downloads 151 (374,208)

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Counterpaty; Exotic Trades, Expected Exposure, Potential Future Exposure

5.

A Crude Estimation of XVA Sensitivities

Number of pages: 5 Posted: 24 Jan 2019
Shahram Alavian and Shahram Alavian
Barclays CapitalRoyal Bank of Scotland (RBS)
Downloads 145 (386,693)

Abstract:

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

6.

A More Generic Scenario Engine for Risk Measurement

Number of pages: 18 Posted: 04 Jun 2009 Last Revised: 06 Jul 2009
Shahram Alavian and Shahram Alavian
Barclays CapitalRoyal Bank of Scotland (RBS)
Downloads 143 (393,204)

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Monte carlo Simulation, Risk Management

7.

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 and Shahram Alavian
Barclays CapitalRoyal Bank of Scotland (RBS)
Downloads 133 (413,964)

Abstract:

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FVA, DVA

8.

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

Number of pages: 7 Posted: 05 Apr 2010
Shahram Alavian and Shahram Alavian
Barclays CapitalRoyal Bank of Scotland (RBS)
Downloads 98 (518,024)

Abstract:

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9.

An Analytical Expression for a Class of Parametric Payoff Functions

Number of pages: 17 Posted: 05 Apr 2010
Shahram Alavian and Shahram Alavian
Barclays CapitalRoyal Bank of Scotland (RBS)
Downloads 60 (683,002)

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10.

Rolli'n Back in Monte Carlo

Posted: 17 Jun 2011
Shahram Alavian and Shahram Alavian
Barclays CapitalRoyal Bank of Scotland (RBS)

Abstract:

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