可赎回利率衍生品的静态复制方法：SIMM-MVA 的数学基础和高效估算

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-02-26 DOI:10.1080/14697688.2024.2312523

J. H. Hoencamp, S. Jain, B. D. Kandhai

引用次数: 0

摘要

计算风险敞口和信用价值调整（CVA）等信用风险指标需要模拟未来的投资组合价格。最近的指标，如动态初始保证金（IM）和信用价值调整（CVA），都需要模拟未来的投资组合价格。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA

The computation of credit risk measures such as exposure and Credit Value Adjustments (CVA) requires the simulation of future portfolio prices. Recent metrics, such as dynamic Initial Margin (IM) a...

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.