Markus Hofer

Bayerische Landesbank

Quantitative Analyst

Brienner Str. 18

Munich

Germany

  • Bayerische Landesbank

SCHOLARLY PAPERS

3

DOWNLOADS

1,218

TOTAL CITATIONS

5

Scholarly Papers (3)

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1.

Efficient Calibration for CVA Using Multi-Level Monte Carlo

Number of pages: 24 Posted: 09 May 2016 Last Revised: 08 Jan 2017
Markus Hofer and Patrik Karlsson
Bayerische Landesbank and drkarlsson.com
Downloads 558 (107,208)

Abstract:

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Multi-level Monte Carlo, Credit Value Adjustments (CVA), XVA, running CVA spread, worst-case bounds, wrong way risk

2.

Quantifying Systemic Risk Using Bayesian Networks

Number of pages: 15 Posted: 23 Feb 2020
Sumit Sourabh, Markus Hofer and Drona Kandhai
University of Amsterdam, Bayerische Landesbank and University of Amsterdam
Downloads 404 (157,847)
Citation 1

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Bayesian network, Wrong-way risk, valuation adjustments, systemic risk, machine learning

3.

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, Bayerische Landesbank and University of Amsterdam
Downloads 256 (257,604)
Citation 4

Abstract:

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