论文标题
XVA敏感性的加速计算
Accelerated Computations of Sensitivities for xVA
论文作者
论文摘要
曝光模拟是许多XVA计算的基础，并且是一个嵌套的期望问题，重复投资组合估值创造了巨大的计算费用。敏感性计算需要在凸起和重新价值方案中令人震惊和无震动的估值加剧计算负载。可以理解，已知的投资组合估值成本降低是在多项式近似中发现的，我们在本文中适用于预期暴露的利率敏感性。 我们考虑了一种基于冲击和未落后的估值函数的近似值的方法，以及一种新的方法，其中这些函数之间的差异近似。显示了收敛结果，我们研究了插值节点的选择。进行利率衍生物的数值实验是为了证明高精度和显着的计算成本降低。我们进一步说明了如何使用具有错误的通道风险的CVA示例将方法扩展到更通用的XVA模型。
Exposure simulations are fundamental to many xVA calculations and are a nested expectation problem where repeated portfolio valuations create a significant computational expense. Sensitivity calculations which require shocked and unshocked valuations in bump-and-revalue schemes exacerbate the computational load. A known reduction of the portfolio valuation cost is understood to be found in polynomial approximations, which we apply in this article to interest rate sensitivities of expected exposures. We consider a method based on the approximation of the shocked and unshocked valuation functions, as well as a novel approach in which the difference between these functions is approximated. Convergence results are shown, and we study the choice of interpolation nodes. Numerical experiments with interest rate derivatives are conducted to demonstrate the high accuracy and remarkable computational cost reduction. We further illustrate how the method can be extended to more general xVA models using the example of CVA with wrong-way risk.
