Risk Minds USA Conference 2013 (Boston)

Alexander Sokol will present at RiskMinds USA Conference which will be held in Boston on June 18-20, 2013. This is the title and brief summary of the upcoming presentation:

Incorporating Trade Specific Calibration into Path Consistent Portfolio Simulation under Risk Neutral and Real World Measures

  • Monte Carlo simulation of portfolio exposure under risk neutral and real world measures must use the same paths for all trades within the netting set
  • Using traditional methodology, trade specific calibration is incompatible with path consistency under the risk neutral measure and is prohibitively slow under the real measure
  • The author presents several techniques for incorporating trade specific calibration into path consistent portfolio exposure simulation without the computational penalty
  • These techniques can help improve model accuracy measured by backtesting and the agreement between current exposure and accounting MtM

Related research

Three methods for incorporating trade specific calibration into path consistent CVA/FVA simulation, Alexander Sokol, Global Derivatives Amsterdam 2013 (summary)

Modeling Credit Exposure to Systemically Important Counterparties, Michael Pykhtin and Alexander Sokol, RiskMinds Amsterdam 2012 (summary)

A Practical Guide to Monte Carlo CVA, Alexander Sokol, in “Lessons from the Financial Crisis” (A. Berd, editor), Risk Books, 2010 (summary)