Drona Kandhai

University of Amsterdam

Spui 21

Amsterdam, 1018 WB

Netherlands

ING Bank - Netherlands Office

1102 MG Amsterdam

P.O. Box 1800

1000 BV Amsterdam

Netherlands

SCHOLARLY PAPERS

8

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SSRN CITATIONS
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3

CROSSREF CITATIONS

14

Scholarly Papers (8)

1.

KVA, Mind Your P's and Q's!

Number of pages: 20 Posted: 11 Jun 2016 Last Revised: 22 Jan 2018
Shashi Jain, Patrik Karlsson and Drona Kandhai
Indian Institute of Science (IISc) - Deptartment of Management Studies, SEB and University of Amsterdam
Downloads 373 (81,560)
Citation 1

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Capital Valuation Adjustment (KVA), Hedging KVA, Hybrid Measure Monte Carlo, Internal Model Method, Valuation Adjustments (XVA)

2.

Efficient Computation of Exposure Profiles for Counterparty Credit Risk

Number of pages: 22 Posted: 14 Feb 2014
University of Amsterdam, Center for Mathematics and Computer Science (CWI), University of Amsterdam and Center for Mathematics and Computer Science (CWI)
Downloads 371 (82,084)
Citation 5

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Expected Exposure, Potential Future Exposure, Bermudan options, Heston, numerical computation, finite differences, stochastic grid bundling method

3.

Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions

Number of pages: 28 Posted: 07 Jun 2016 Last Revised: 04 Jul 2016
Center for Mathematics and Computer Science (CWI), Indian Institute of Science (IISc) - Deptartment of Management Studies, SEB, University of Amsterdam and Center for Mathematics and Computer Science (CWI)
Downloads 353 (86,940)

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credit valuation adjustment, CVA, Bermudan swaption EE, PFE, risk-neutral measure, real-world measure

Efficient Estimation of Sensitivities for Counterparty Credit Risk with the Finite Difference Monte-Carlo Method

Number of pages: 25 Posted: 19 Dec 2014
Cornelis de Graaf, Drona Kandhai and Peter Sloot
University of Amsterdam, University of Amsterdam and University of Amsterdam
Downloads 274 (114,157)
Citation 1

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Expected Exposure, CVA, Potential Future Exposure, sensitivities, barrier options, Heston, numerical computation, finite differences, Portfolio

Efficient Estimation of Sensitivities for Counterparty Credit Risk with the Finite Difference Monte Carlo Method

Journal of Computational Finance, Forthcoming
Number of pages: 31 Posted: 20 Aug 2016
Cornelis de Graaf, Drona Kandhai and Peter Sloot
University of Amsterdam, University of Amsterdam and University of Amsterdam
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finite difference Monte Carlo (FDMC), credit valuation adjustment (CVA), barrier options, portfolip, exposure computation

5.

Liquidity Risk in Derivatives Valuation: An Improved Credit Proxy Method

Number of pages: 31 Posted: 28 Sep 2016
Sumit Sourabh, Markus Hofer and Drona Kandhai
University of Amsterdam, ING Bank and University of Amsterdam
Downloads 145 (207,360)
Citation 1

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credit default swaps, liquidity risk, xVA, Value at Risk (VaR)

6.

Contagious Defaults in a Credit Portfolio: A Bayesian Network Approach

Number of pages: 22 Posted: 07 Sep 2019
University of Amsterdam, University of Amsterdam, University of Amsterdam and University of Amsterdam
Downloads 46 (414,348)

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Portfolio Credit Risk, Bayesian Learning, Credit Default Swaps, Default Contagion, Probabilistic Graphical Models, Network Theory

7.

Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions

Journal of Computational Finance, Forthcoming
Number of pages: 34 Posted: 13 Jul 2016
Center for Mathematics and Computer Science (CWI), Indian Institute of Science (IISc) - Deptartment of Management Studies, SEB, University of Amsterdam and Center for Mathematics and Computer Science (CWI)
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Citation 1
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credit valuation adjustment (CVA), credit exposure, potential future exposure (PFE), Bermudan swaption, risk-neutral measure, real-world measure

8.

Ultra-Fast Scenario Analysis of Mortgage Prepayment Risk

Journal of Risk, Vol. 17, No. 3, 2015
Number of pages: 16 Posted: 24 Jun 2016
University of Amsterdam, ING Bank - Netherlands Office, ING Bank - Netherlands Office and University of Amsterdam
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market risk, mortgage valuation, GPU, PDE, forward Kolmogorov, Monte Carlo