The Resource Long-term portfolio simulation for XVA : limits, liquidity and regulatory capital, Alexander Sokol
Long-term portfolio simulation for XVA : limits, liquidity and regulatory capital, Alexander Sokol
Resource Information
The item Long-term portfolio simulation for XVA : limits, liquidity and regulatory capital, Alexander Sokol represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item Long-term portfolio simulation for XVA : limits, liquidity and regulatory capital, Alexander Sokol represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
- Summary
- The changes in financial markets and regulatory environment following the financial crisis created many new analytics requirements. These requirements include those for computing CVA. In addition, advanced limit management based on potential future exposure (PFE) has taken an increased role following the crisis. Calculation of PFE-based limits also requires simulation of portfolio to maturity in either risk neutral or real measure. Other important requirements include modelling funding (FVA), collateral needs and cheapest to deliver collateral, and projection of portfolio cashflows for liquidity management. Previously many of these calculations were only performed by the largest sell side firms. Now, most of them are also required by small and medium banks, as well as asset managers and corporates. These new requirements can only be met by performing path consistent Monte Carlo simulation of portfolios involving a large number of risk factors over long time horizon (up to and exceeding 30 years). Written by industry expert Alexander Sokol, this is the first book to focus specifically on model construction and calibration for long-term portfolio simulation. The book offers insider knowledge and techniques for the unique modelling methodologies required in simulating entire portfolios.--
- Language
- eng
- Label
- Long-term portfolio simulation for XVA : limits, liquidity and regulatory capital
- Title
- Long-term portfolio simulation for XVA
- Title remainder
- limits, liquidity and regulatory capital
- Statement of responsibility
- Alexander Sokol
- Language
- eng
- Summary
- The changes in financial markets and regulatory environment following the financial crisis created many new analytics requirements. These requirements include those for computing CVA. In addition, advanced limit management based on potential future exposure (PFE) has taken an increased role following the crisis. Calculation of PFE-based limits also requires simulation of portfolio to maturity in either risk neutral or real measure. Other important requirements include modelling funding (FVA), collateral needs and cheapest to deliver collateral, and projection of portfolio cashflows for liquidity management. Previously many of these calculations were only performed by the largest sell side firms. Now, most of them are also required by small and medium banks, as well as asset managers and corporates. These new requirements can only be met by performing path consistent Monte Carlo simulation of portfolios involving a large number of risk factors over long time horizon (up to and exceeding 30 years). Written by industry expert Alexander Sokol, this is the first book to focus specifically on model construction and calibration for long-term portfolio simulation. The book offers insider knowledge and techniques for the unique modelling methodologies required in simulating entire portfolios.--
- Assigning source
- Provided by Publisher
- Cataloging source
- YDXCP
- http://library.link/vocab/creatorName
- Sokol, Alexander
- Index
- no index present
- Literary form
- non fiction
- http://library.link/vocab/subjectName
-
- Portfolio management
- Asset allocation
- Label
- Long-term portfolio simulation for XVA : limits, liquidity and regulatory capital, Alexander Sokol
- Carrier category
- volume
- Carrier MARC source
- rdacarrier.
- Content category
- text
- Content type MARC source
- rdacontent.
- Control code
- FIEb17672880
- Dimensions
- 24 cm.
- Extent
- xviii, 222 pages
- Isbn
- 9781782720959
- Media category
- unmediated
- Media MARC source
- rdamedia.
- Other physical details
- illustrations
- System control number
- (OCoLC)910923486
- Label
- Long-term portfolio simulation for XVA : limits, liquidity and regulatory capital, Alexander Sokol
- Carrier category
- volume
- Carrier MARC source
- rdacarrier.
- Content category
- text
- Content type MARC source
- rdacontent.
- Control code
- FIEb17672880
- Dimensions
- 24 cm.
- Extent
- xviii, 222 pages
- Isbn
- 9781782720959
- Media category
- unmediated
- Media MARC source
- rdamedia.
- Other physical details
- illustrations
- System control number
- (OCoLC)910923486
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Long-term-portfolio-simulation-for-XVA--limits/11B6or5rIzA/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Long-term-portfolio-simulation-for-XVA--limits/11B6or5rIzA/">Long-term portfolio simulation for XVA : limits, liquidity and regulatory capital, Alexander Sokol</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>
