By Alexander Sokol
This booklet written via best specialist, Alexander Sokol, presents a entire reference of marketplace perform and complex recommendations for developing and calibrating long term portfolio simulation models.
Long-Term Portfolio Simulation is a must-read for a person facing the original demanding situations of simulating huge portfolios over very long time horizons within the context of CVA, investment, liquidity, collateral optimisation, PFE-based limits and regulatory capital.
The adjustments in monetary markets and regulatory surroundings following the monetary quandary created many new analytics requirements.
These requisites contain these for computing CVA. moreover, complex restrict administration in response to power destiny publicity (PFE) has taken an elevated position following the quandary. Calculation of PFE-based limits additionally calls for simulation of portfolio to adulthood in both threat impartial or actual degree. different vital specifications comprise modelling investment (FVA), collateral wishes and least expensive to carry collateral, and projection of portfolio cashflows for liquidity management.
Previously a lot of those calculations have been in simple terms played through the biggest promote aspect businesses. Now, so much of them also are required via small and medium banks, in addition to asset managers and corporates.
These new specifications can purely be met via appearing direction constant Monte Carlo simulation of portfolios related to quite a few possibility components over very long time horizon (up to and exceeding 30 years).
Written by way of specialist Alexander Sokol, this can be the 1st ebook to concentration particularly on version development and calibration for long term portfolio simulation. The booklet deals insider wisdom and strategies for the original modelling methodologies required in simulating whole portfolios.
The ebook will tackle the subsequent issues for a number of asset sessions, together with rate of interest, go foreign money and hybrid, CDS and credits items, and dependent products:
Risk impartial models
Real global models
Margin interval of risk
General opposite direction risk
Systemic opposite direction risk
American Monte Carlo
CVA and funding
Liquidity and PFE-based limits
Long-Term Portfolio Simulation is a finished reference for quants chargeable for construction versions for CVA, PFE, limits, liquidity, or investment, in addition to these auditing and reviewing the versions.