1066 W Hastings St
Vancouver, British Columbia V6E 3X1
Canada
regression-based Monte Carlo, CCR capital, CCR KVA, SA-CCR EAD, incurred/ forward CVA, static and dynamic CCR risk weights, Basel III, OTC derivatives
xVA, Hull-White interest rate model, mean reversion parameter calibration, time series
Standard Initial Margin Model (SIMM), initial margin (IM), stochastic cross-currency basis, margin valuation adjustment (MVA), credit valuation adjustment (CVA), Hull-White model
xVA, Hull-White interest rate model, instrument selection for calibration, time series
