BAML's Lipton: discrete models essential to cut CVA computation costs – Video
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
Using a discrete model to calculate the credit value adjustment (CVA) of a portfolio is essential in order to reduce the hugely punitive computational cost, according to a top quantitative analyst speaking in an exclusive video interview with Risk.
The use of models that use fixed steps for both time evolution and underlying price movements is necessary in order to produce daily CVA calculations, says Alex Lipton, co-head of the global quantitative group at Bank of America Merrill Lynch.
"Given
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