Allan Cowan

IHS Markit

Canada

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Deep MVA: Deep Learning for Margin Valuation Adjustment of Callable Products

Number of pages: 23 Posted: 16 Jul 2020
Anup Aryan and Allan Cowan
IHS Markit and IHS Markit
Downloads 338 (143,545)

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Deep Learning, Neural Networks, MVA, xVA, SIMM, Bermudan Swaptions

2.

CCR KVA Relief Through CVA: A Regression-Based Monte Carlo Approach

Wilmott Magazine, January 2019, 42-61
Number of pages: 33 Posted: 04 Mar 2018 Last Revised: 08 Feb 2019
Christoph M Puetter, Stefano Renzitti and Allan Cowan
S&P Global, S&P Global and IHS Markit
Downloads 278 (176,379)

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regression-based Monte Carlo, CCR capital, CCR KVA, SA-CCR EAD, incurred/ forward CVA, static and dynamic CCR risk weights, Basel III, OTC derivatives