Infinitesimal sensitivities, computed as derivatives of pricing functions, are useful to find high-frequency hedge ratios. However, they are less useful for the purpose of optimising 2-week VaR, especially if one includes shocks from stressed periods, as is required for applications to margin...

Implementations of the Standard Initial Margin Model (SIMM) and the Sensitivity Based Approach (SBA) in the Fundamental Review of the Trading Book (FRTB), both call for the calculation of sensitivities with respect to a standardised set of risk factors. Since standard factors are generally...

In recent years, forward initial margin has attracted the attention of practitioners and academics. From a computational point of view, it poses a challenging problem as it requires the implementation of a nested Monte Carlo simulation. Abundant literature has been published on approximation...

Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all the trades with each counterparty under both market and credit risk. We present a multi-Gaussian process regression approach, which is well suited for OTC derivative portfolio...