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 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance 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

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.