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q-fin.RM2022
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…
q-fin.RM2022
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…