1066 West Hastings Street
Vancouver, British Columbia V6E 3X1
Canada
S&P Global
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, CVA, Greeks, Monte Carlo, Quasi Monte Carlo, Sobol' Sequences, Hull-White
CVA, Greeks, Monte Carlo, Quasi-Monte Carlo, Sobol' Sequences
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
Monte Carlo, Option Pricing, Variance Reduction, Moment Matching, Empirical Martingale Simulation, XVA, CVA, DVA, Greeks, Quasi-Monte Carlo, Sobol' Sequences, Derivative Estimation
Derivatives, XVA, Jump-Diffusion, Credit Valuation Adjustments, Capital Valuation Adjustment, Funding Valuation Adjustment, Risk Capital, Structural Model, Default Correlation
PFE, FX Heston, Garman-Kohlhagen, Monte Carlo, FX Option, TARF, TARN
Valuation, Change of Measure, Jump-Diffusion
