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Efficient Monte Carlo CVA estimation
2014
Proceedings of the Winter Simulation Conference 2014
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This paper presents an overview of the efficient Monte Carlo counterparty credit risk (CCR) estimation framework recently developed by Ghamami and Zhang (2014) . We focus on the estimation of credit value adjustment (CVA), one of the most widely used and regulatory-driven counterparty credit risk measures. Our proposed efficient CVA estimators are developed based on novel applications of well-known mean square error (MSE) reduction techniques in the simulation literature. Our numerical examples
doi:10.1109/wsc.2014.7019911
dblp:conf/wsc/GhamamiZ14
fatcat:nea6lsntnncufccectgttyqiva