A Practical Guide to Monte Carlo CVA

Alexander Sokol (CompatibL)

This paper appeared in “Lessons from the Financial Crisis” (A. Berd, editor), Risk Books, 2010

A Practical Guide to Monte Carlo CVAEndpoint distibution of exposures figure

Related conference presentations

Related research has been presented at several conferences starting in 2010, including:

Fast Monte Carlo CVA using Exposure Sampling Method, Alexander Sokol, RiskMinds Geneva 2010 (pdf)

Full Credit Event Simulation for CVA Using Exposure Sampling, Alexander Sokol, RiskMinds USA Boston 2011 (pdf)