- All Categories
- Featured Events
- Alumni
- Application Deadline
- Arts
- Campus Discourse
- Careers
- BU Central
- Center for the Humanities
- Charity & Volunteering
- Kilachand Center
- Commencement
- Conferences & Workshops
- Diversity & Inclusion
- Examinations
- Food & Beverage
- Global
- Health & Wellbeing
- Keyword Initiative
- Lectures
- LAW Community
- Meetings
- Orientation
- Other Events
- Religious Services & Activities
- Special Interest to Women
- Sports & Recreation
- Social Events
- Study Abroad
- Weeks of Welcome
- Archaeology Dissertation Defense of Adam Kaeding10:00 am
- TALK SERIES10:00 am
- Romance Studies Dissertation Defense of Arlene Ovalle-Child11:00 am
- Biophysics/Condensed Matter Seminar12:00 pm
- Romance Studies Dissertation Defense of Rommy Balabarca-Fataccioli2:00 pm
- MSE Colloquium: Hossein Ghezel-Ayagh, Fuel Cell Energy3:00 pm
- CISE Seminar: D. Matthew Andrews, Bell Labs3:00 pm
- Bo Zhang - IBM Research4:00 pm
Bo Zhang - IBM Research
Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement. Abstract: Counterparty credit risk (CCR), a key driver of the 2007-08 credit crisis, has become one of the main focuses of the major global and U.S. regulatory standards. Financial institutions invest large amounts of resources employing Monte Carlo simulation to measure and price their counterparty credit risk. We develop efficient Monte Carlo CCR frameworks by focusing on the most widely used and regulatory-driven CCR measures: expected positive exposure (EPE), credit value adjustment (CVA), and eff ective expected positive exposure (eEPE). Our numerical examples illustrate that our proposed e fficient Monte Carlo estimators outperform the existing crude estimators of these CCR measures substantially in terms of mean square error (MSE). We also demonstrate that the two widely used sampling methods, the so-called Path Dependent Simulation (PDS) and Direct Jump to Simulation date (DJS), are not equivalent in that they lead to Monte Carlo CCR estimators which are drastically different in terms of their MSE.
When | 4:00 pm to 5:00 pm on Friday, May 3, 2013 |
---|---|
Building | MCS 148 |
Fees | Free |