Architecture

Giovanni Cesari (), John Aquilina (), Niels Charpillon (), Zlatko Filipović (), Gordon Lee () and Ion Manda ()
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Giovanni Cesari: UBS AG
John Aquilina: UBS AG
Niels Charpillon: UBS AG
Zlatko Filipović: UBS AG
Gordon Lee: UBS AG
Ion Manda: UBS AG

Chapter Chapter 7 in Modelling, Pricing, and Hedging Counterparty Credit Exposure, 2009, pp 135-145 from Springer

Abstract: Abstract We have described how the AMC algorithm translates into a computational framework that allows systematic counterparty exposure computation of different products. The main result achieved so far is that, within this framework, products are described via their generic features and not their specific definition. This has provided the capability of using functions of financial quantities, which we have called statistics, to define products. As an additional step we have introduced a Portfolio Aggregation Language, PAL, to book trades in the system and, thus, use the analytics in a flexible way. As a result the concept of a new type of product, defined in terms of price distribution of other products, has been introduced. We have called these products super-products, with the most relevant example in this context being the Contingent Credit Default Swap (C-CDS).

Keywords: Portfolio Manager; Price Function; Price Distribution; Conceptual View; Brownian Path (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-04454-0_7

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DOI: 10.1007/978-3-642-04454-0_7

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