Sparse grid method for highly efficient computation of exposures for xVA

Lech A. Grzelak

Applied Mathematics and Computation, 2022, vol. 434, issue C

Abstract: Every “x”-adjustment in the so-called xVA financial risk management framework relies on the computation of exposures. Considering thousands of Monte Carlo paths and tens of simulation steps, a financial portfolio needs to be evaluated numerous times during the lifetime of the underlying assets. This is the bottleneck of every simulation of xVA.

Keywords: Stochastic collocation; SC; xVA; Valuation adjustment; Expected exposures; Smolyak’s sparse grids; Chebyshev polynomials; Clenshaw–Curtis (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:434:y:2022:i:c:s0096300322005203

DOI: 10.1016/j.amc.2022.127446

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