With deadlines for Basel III implementation on the imminent horizon, market practitioners are faced with challenges in computing complex risk and credit exposure calculations for derivative instruments. While there may be a consensus on how to compute price, there are various approaches to achieving risk computations that don’t always agree.
Join Numerix on October 18th at 10:30 am EDT for a quantitative discussion as featured speaker Dr. Alexandre Antonov, Senior VP of Quantitative Research at Numerix, explores a new quantitative approach for reducing exposure computation times for both vanilla and exotic instruments, including the following:
- Algorithmic approach for Counterparty exposure calculation
- Calculating credit exposure as a pricing by-product
- Exposure calculation for exotics
- Exposure calculation for vanillas
- New "thin-out" method for vanillas
This Webinar is complimentary, but registration is required as space is limited.
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