1 citations · 2 across the 5 of their papers we have counts for
3 papers · 1 filter
An Enhanced Initial Margin Methodology to Manage Warehoused Credit Risk
Lucia Cipolina-Kun, Ignacio Ruiz, Mariano Zero-Medina Laris
The use of CVA to cover credit risk is widely spread, but has its limitations. Namely, dealers face the problem of the illiquidity of instruments used for hedging it, hence forced…
Dynamic Initial Margin via Chebyshev Tensors
Ignacio Ruiz, Mariano Zeron
We present two methods, based on Chebyshev tensors, to compute dynamic sensitivities of financial instruments within a Monte Carlo simulation. These methods are implemented and run…
Chebyshev Methods for Ultra-efficient Risk Calculations
Mariano Zeron Medina Laris, Ignacio Ruiz
Financial institutions now face the important challenge of having to do multiple portfolio revaluations for their risk computation. The list is almost endless: from XVAs to FRTB, s…