most citedEfficient Least Squares Monte-Carlo Technique for PFE/EE Calculations

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q-fin.CP2021★ 1 cited

Efficient Least Squares Monte-Carlo Technique for PFE/EE Calculations

Yuriy Krepkiy, Asif Lakhany, Amber Zhang

We describe a regression-based method, generally referred to as the Least Squares Monte Carlo (LSMC) method, to speed up exposure calculations of a portfolio. We assume that the po…