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Hybrid Models & Optimization Techniques For Real-Time Counterparty Credit Risk Exposures

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Posted: 4 March 2013 | Source: Numerix

Dr. Serguei Issakov, Global Head of Quantitative Research at Numerix , joins host and CMO Jim Jockle to discuss how Hybrid models can be leveraged in the real-time calculation of CVA, FVA and DVA computations and in terms of implementation – the types of optimizations financial institutions must consider in order to achieve real-time objectives, including the use of Factor models and Shared models.

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