A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA,Quantitative Finance

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A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
Quantitative Finance ( IF 1.3 ) Pub Date : 2024-02-26 , DOI: 10.1080/14697688.2024.2312523
J. H. Hoencamp _{1,

2} , S. Jain ₃ , B. D. Kandhai _{1,

2}

Affiliation

The computation of credit risk measures such as exposure and Credit Value Adjustments (CVA) requires the simulation of future portfolio prices. Recent metrics, such as dynamic Initial Margin (IM) a...

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