Search Results for author: Amber Zhang

Found 4 papers, 1 papers with code

Efficient ISDA Initial Margin Calculations Using Least Squares Monte-Carlo

no code implementations25 Oct 2021 Asif Lakhany, Amber Zhang

Non-cleared bilateral OTC derivatives between two financial firms or systemically important non-financial entities are subject to regulations that require the posting of initial and variation margin.

Calibrating the Nelson-Siegel-Svensson Model by Genetic Algorithm

no code implementations3 Aug 2021 Asif Lakhany, Andrej Pintar, Amber Zhang

Accurately fitting the term structure of interest rates is critical to central banks and other market participants.

Efficient Least Squares Monte-Carlo Technique for PFE/EE Calculations

no code implementations14 May 2021 Yuriy Krepkiy, Asif Lakhany, Amber Zhang

We describe a regression-based method, generally referred to as the Least Squares Monte Carlo (LSMC) method, to speed up exposure calculations of a portfolio.

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