Long-term portfolio simulation : for XVA, limits, liquidity and regulatory capital

A generic model for spouse's pensions with a view towards the calculation of liabilities

Sokol, Alexander, (2015)

Counterparty risk - Exposure under systemic impact - Wrong-way risk (WWR) behaves differently for exposures to systemically important counterparties because their default has the potential to move financial markets before the close-out. The authors show how the traditional exposure simulation framework can be adapted to account for this systemic WWR. They illustrate how the model can be calibrated ...

Pykhtin, Michael, (2013)

Credit Exposure in the Presence of Initial Margin

Andersen, Leif B. G., (2017)