Long Term Portfolio Simulation for CVA, Funding, Limits, and Capital by Alexander Sokol

Presenter: Alexander Sokol: CEO and Head of Quant Research, CompatibL 

The workshop will focus on the specifics of constructing and calibrating models for CVA/PFE which must simulate the evolution of a large number of risk factors for long time horizons and with incomplete calibration data. Both risk neutral and real world measure models will be covered with specific focus on avoiding extreme or unrealistic values of risk factors for long time horizons and dealing with incomplete or short dated calibration data.

  • Methodology Fundamentals
    • Introduction and Objectives
    • Real World or Risk Neutral?
    • Dealing with Long Simulation Horizons
    • Dealing with Heavily Multifactor Simulation
    • Margin Period of Risk (MPR)
    • General Wrong Way Risk (WWR)
    • Systemic Wrong Way Risk
    • Generic Rate and Asset Factors
       
  • Model Construction Techniques
    • Incremental Correlation
    • Bridge Correlation
    • Historical Correlation
    • Model Extension
       
  • Fast Valuation Techniques
    • Linear Trades
    • American Monte Carlo
       
  • Models
    • Popular Interest Rate Models
    • Popular Default Intensity Models
    • Popular FX and Asset Price Models
    • Risk Neutral Portfolio Model
    • Real World Portfolio Model
    • General Wrong Way Risk Model
    • Margin Period of Risk Model
    • Systemic Wrong Way Risk Model
    • Minimum Transfer Amount Model