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- W788396964 abstract "Topics covered include: Methodology fundamentals Risk factor mapping to generic rate and asset factors Model construction in real world measure Model construction in risk neutral measure Principal components analysis Incremental correlation Markovian projection Skew averaging Risk neutral measure models Techniques for avoiding extreme parameter values Calibration of long dated vol and skew Calibration of correlation Real world measure models Fundamentals of real world measure simulation Setting long dated drift in real world measure Calibration of stochastic processes Calibration of correlation Trade specific calibration Techniques for avoiding extreme parameter values Interest rate and inflation OIS and XOIS curves Libor spread curves Inflation Standard risk neutral models Standard real world models FX Minor currency pairs Hyperinflation Currency collapse Standard risk neutral models Standard real world models Equity Stock index Single stock Stochastic dividends Standard risk neutral models Standard real world models Commodity Correlation to equity and FX markets Seasonality Standard risk neutral models Standard real world models Credit Reduced form and structural default models Index and single name CDS Structured credit products Standard risk neutral models Standard real world models Valuation Acceleration techniques for linear trades Acceleration techniques for nonlinear trades Path consistent valuation using trade specific models Path consistent out of model valuation Collateral Margin period of risk Cash collateral in bilateral trading Non-cash collateral in bilateral trading CCP collateral Wrong way risk General wrong way risk Modelling portfolios of CDS Systemic wrong way risk Calibration methods Applications CVA Funding Cheapest to deliver collateral PFE limits Regulatory limits Cost of regulatory capital Cost of economic capital Expected cashflows Liquidity measures" @default.
- W788396964 created "2016-06-24" @default.
- W788396964 creator A5003231332 @default.
- W788396964 date "2014-07-25" @default.
- W788396964 modified "2023-09-27" @default.
- W788396964 title "Long-Term Portfolio Simulation: For XVA, Limits, Liquidity and Regulatory Capital" @default.
- W788396964 hasPublicationYear "2014" @default.
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