Speed-up credit exposure calculations for pricing and risk management
Speed-up credit exposure calculations for pricing and risk management
复制标题
加快定价和风险管理的信用风险计算
DOI：
10.1080/14697688.2020.1781236
复制
发表时间：
2019
影响因子：
1.3
通讯作者：
C. Pötz
中科院分区：
文献类型：
--
作者：
K. Glau;R. Pachón;C. Pötz
本文提出了一种新的方法来计算欧式期权和路径依赖期权的信用风险。所提出的方法能够在风险中性和现实世界的措施下，准确地计算预期的暴露和潜在的未来暴露的配置文件。一个关键的优点是，它提供了一个完整的重新评估的准确性，同时它比基于回归的方法更快。该方法的核心是通过函数逼近来求解动态规划问题。这将沿着路径以及选项的delta和gamma生成一个封闭形式的近似值沿着路径。简单的结构允许高效率的曝光评估，即使对于大量的模拟路径。该方法在模型选择、收益分布和资产类别方面具有灵活性。我们验证了三种不同的权益产品和一个利率互换的方法的准确性数值。对流行的最小二乘蒙特卡罗方法进行基准测试表明，我们的方法能够在更快的运行时间内提供更高的精度。
We introduce a new method to calculate the credit exposure of European and path-dependent options. The proposed method is able to calculate accurate expected exposure and potential future exposure profiles under the risk-neutral and the real-world measure. A key advantage is that it delivers an accuracy comparable to a full re-evaluation and at the same time it is faster than a regression-based method. The core of the approach is solving a dynamic programming problem by function approximation. This yields a closed-form approximation along the paths together with the option's delta and gamma. The simple structure allows for highly efficient evaluation of the exposures, even for a large number of simulated paths. The approach is flexible in the model choice, payoff profiles and asset classes. We validate the accuracy of the method numerically for three different equity products and a Bermudan interest rate swaption. Benchmarking against the popular least-squares Monte Carlo approach shows that our method is able to deliver a higher accuracy in a faster runtime.