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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

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
Creator
Subject
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
Instantiates
Publication
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
Publication
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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