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Risk and CVA for Exotic Derivatives: The Universal Modeling

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This year’s 9th annual Quant Congress USA, hosted by Risk Magazine in New York City, revealed some of the most cutting-edge research and innovations across the quantitative analysis, trading, risk management and investment markets. Numerix’s own Dr. Alexander Antonov, Senior Vice President, Quantitative Research and Development, presented “Risk and CVA for Exotic Derivatives: the Universal Modeling” on July 13th at The Westin, Times Square. In his presentation, Dr. Antonov addressed the following key issues: Calculation of the portfolio exposure in a self-consistent way using arbitrage-free model calibrated to both implied market and real-world projections A new automatic method of exposure...


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