XVA Principles, Nested Monte Carlo Strategies, and GPU Optimizations


We present a nested Monte Carlo (NMC) approach implemented on graphics processing units (GPU) to X-valuation adjustments (XVA), where X ranges over C for credit, F for funding, M for margin, and K for capital. The overall XVA... [ view full abstract ]


  1. Stéphane Crépey (Evry University)
  2. Lokman Abbas-turki (University Pierre and Marie CURIE)
  3. Babacar Diallo (Quantitative Research GMD/GMT Credit Agricole CIB)

Topic Areas

CVA-XVA Models , Numerical Methods , Simulation


PS » Poster Presentations (11:00 - Monday, 16th July)

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