At the 9th annual Quant Congress USA, Dr. Alexander Antonov, Senior Vice President, Quantitative Research at Numerix, presented “Risk and CVA for Exotic Derivatives: the Universal Modeling.”
The presentation addressed key issues such as:
- Calculation of the portfolio exposure in a self-consistent way using arbitrage-free model calibrated to both implied market and real-world projections
- A new automatic method of exposure calculations (at the same time as pricing) especially attractive for exotic portfolios avoiding cumbersome exercise aggregation
- And the efficient CVA calculation using the simulated information