2021
DOI: 10.48550/arxiv.2104.14319
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Sparse Grid Method for Highly Efficient Computation of Exposures for xVA

Abstract: Every "x"-adjustment in the so-called xVA financial risk management framework relies on the computation of exposures. Considering thousands of Monte Carlo paths and tens of simulation steps, a financial portfolio needs to be evaluated numerous times during the lifetime of the underlying assets. This is the bottleneck of every simulation of xVA.In this article, we explore numerical techniques for improving the simulation of exposures. We aim to decimate the number of portfolio evaluations, particularly for larg… Show more

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