4 citations · 8 across the 18 of their papers we have counts for
4 papers · 1 filter
Accelerated Computations of Sensitivities for xVA
Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf
Exposure simulations are fundamental to many xVA calculations and are a nested expectation problem where repeated portfolio valuations create a significant computational expense. S…
Sensitivities and Hedging of the Collateral Choice Option
Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf
The collateral choice option allows a collateral-posting party the opportunity to change the type of security in which the collateral is deposited. Due to non-zero collateral basis…
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio
Emanuele Casamassima, Lech A. Grzelak, Frank A. Mulder +1
Understanding mortgage prepayment is crucial for any financial institution providing mortgages, and it is important for hedging the risk resulting from such unexpected cash flows.…
Cheapest-to-Deliver Collateral: A Common Factor Approach
Felix L. Wolf, Lech A. Grzelak, Griselda Deelstra
The collateral choice option gives the collateral posting party the opportunity to switch between different collateral currencies which is well-known to impact the asset price. Qua…