Risk optimisation: the noise is the signal

Burnett, O’Callaghan and Hulme introduce a new method for optimising accuracy and risk's computing speed for an XVA trading book

accuracy-shutterstock-152900366

CLICK HERE TO VIEW THE PDF

 

The make-up of bank trading books can be highly variable. At one end of the spectrum are flow books, consisting of a fairly homogeneous set of quick-to-value trades. At the other end, we have valuation adjustment books, referencing a heterogeneous set of counterparties, each with different underlying trade populations. These trades, and hence the XVAs for different counterparties, will vary enormously both in the time needed for calculation and the magnitude of the

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here