By Alexander Sokol
This ebook written by means of top professional, Alexander Sokol, presents a complete reference of marketplace perform and complicated options for developing and calibrating long term portfolio simulation models.
Long-Term Portfolio Simulation is a must-read for an individual facing the original demanding situations of simulating huge portfolios over very long time horizons within the context of CVA, investment, liquidity, collateral optimisation, PFE-based limits and regulatory capital.
The alterations in monetary markets and regulatory surroundings following the monetary problem created many new analytics requirements.
These specifications comprise these for computing CVA. furthermore, complicated restrict administration in line with power destiny publicity (PFE) has taken an elevated function following the challenge. Calculation of PFE-based limits additionally calls for simulation of portfolio to adulthood in both chance impartial or actual degree. different very important standards contain modelling investment (FVA), collateral wishes and most cost-effective to carry collateral, and projection of portfolio cashflows for liquidity management.
Previously lots of those calculations have been purely played through the most important promote facet enterprises. Now, so much of them also are required by way of small and medium banks, in addition to asset managers and corporates.
These new necessities can merely be met via acting direction constant Monte Carlo simulation of portfolios related to numerous hazard elements over very long time horizon (up to and exceeding 30 years).
Written by means of specialist Alexander Sokol, this can be the 1st e-book to concentration particularly on version development and calibration for long term portfolio simulation. The e-book bargains insider wisdom and strategies for the original modelling methodologies required in simulating complete portfolios.
The e-book will tackle the next themes for a number of asset sessions, together with rate of interest, go foreign money and hybrid, CDS and credits items, and established products:
Risk impartial models
Real international models
Margin interval of risk
General other way risk
Systemic opposite direction risk
American Monte Carlo
CVA and funding
Liquidity and PFE-based limits
Long-Term Portfolio Simulation is a accomplished reference for quants liable for construction versions for CVA, PFE, limits, liquidity, or investment, in addition to these auditing and reviewing the versions.