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Optimal Hedging Strategies With an Application to Hedge Fund Replication: Wilmott Magazine Article
Alexandre Hocquard, Nicolas Papageorgiou & Bruno Rémillard 72 Views

The derivation of the bivariate Payoff Distribution model by Kat and Palaro (2005) represents an interesting contribution to the performance evaluation and asset pricing literature. Nonetheless, their approach for evaluating the function is significantly flawed. Recently, Papageorgiou et al. (2007) have proposed a much more robust approach to modeling the marginal distributions and copula functions, and also extend the results of Schweizer (1995) to evaluate the model and derive an optimal dynamic trading (hedging) strategy. In this paper, we will discuss the technical challenges of implementing a multivariate extension of Dybvig (1988) model and discuss the possible solutions.


xVA - Coping with the Tsunami of Compute Load
Jorg Lotze and Hicham Lahlou

 

This article gives an overview of the different xVA adjustments, such as CVA, DVA, and FVA, shows how they are typically computed, and outlines where the computational complexities lie. We give recommendations on how to achieve high performance, portability, and scalability for centralised in-house xVA implementations. We show how, by careful software design, we can easily harness, not only the power of multi-core CPUs, but also accelerator co-processors such as graphic processing units (GPUs) and the Intel Xeon Phi.


Validation of Rating Models
Bernd Appasamy, Stefan Hengstmann, Georg Stapper, Egbert Schark 2276 Views

In the course of the upcoming new capital accord, Basel II, the different methodologies for the construction of internal rating models were in the center of interest within the last few years. Special attention was often put to the optimization of the discriminatory power and on statistical stability, frequently only obtainable by joining several portfolios. However, in practice it turned out that the discriminatory power itself is not a suitable measure for the quality of a rating system. Recently it became evident, that attention must be paid to the comprehensive validation of the systems just besides mature rating methodologies (Bundesbank 2003).

Key Risk Indicators - 18 June 2014 | Central London - SAVE 15%
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18 June 2014 | Central London

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