基于经验鞅模拟的XVA估计

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-10-28 DOI:10.2139/ssrn.3948228

Stefano Renzitti, P. Bastani, Steven Sivorot

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摘要

我们探索了简单的有限样本调整，以模拟即期外汇汇率，零债券，远期ibor和数字，以确保线性IR和外汇产品的鞅资产定价属性与有限数量的蒙特卡罗模拟完全保持

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XVA Estimates with Empirical Martingale Simulation

We explore simple finite sample adjustments to simulated spot FX rates, zero bonds, forward IBORs and the numeraire to ensure the martingale asset pricing property of linear IR and FX products holds exactly with a finite number of Monte Carlo simulations

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Risk Management & Analysis in Financial Institutions eJournal

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