This slide presentation from November 2012, presented by
Dr. Serguei Issakov at RiskUSA, will address:

• Foundation of Monte Carlo simulation of counterparty exposure: hybrid model and American Monte Carlo method
• Algorithmic exposure vs direct simulation
• Real world measure model calibration: matching future values of indexes and rates
• Optimizations for large portfolios of linear instruments - superswap concept: single currency swaps, FX Forwards, cross currency swaps
• Primary and secondary factors, factor loading
• Implementation details: netting and collateral logic for multiple counterparties in bilateral setting, Basel III and beyond

Serguei Issakov, Global Head of Quantitative Research, NUMERIX