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SWilson
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Posts: 49
Joined: February 13th, 2018, 5:27 pm

CVA models

December 12th, 2018, 2:37 pm

Can anyone recommend a good source for an off the shelf CVA model even if it costs some $$.  I'm most interested in PFE but something comprehensive across various methodologies and instruments is fine.  Thanks.  
 
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Cuchulainn
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Joined: July 16th, 2004, 7:38 am
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Re: CVA models

December 12th, 2018, 4:40 pm

Maybe Quaternion (I don't know the company as such) but I think they have codes based on Quantlib. AFAIR Joerg Kienitz and Peter Caspers are the contacts.

https://www.quaternion.com/news/managin ... p-of-xvas/
http://www.datasimfinancial.com
http://www.datasim.nl

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SWilson
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Posts: 49
Joined: February 13th, 2018, 5:27 pm

Re: CVA models

December 12th, 2018, 7:38 pm

Thanks Cuch
 
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Cuchulainn
Posts: 61184
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
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Re: CVA models

December 12th, 2018, 8:00 pm

You're welcome.
http://www.datasimfinancial.com
http://www.datasim.nl

Every Time We Teach a Child Something, We Keep Him from Inventing It Himself
Jean Piaget
 
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pcaspers
Posts: 695
Joined: June 6th, 2005, 9:49 am

Re: CVA models

December 12th, 2018, 8:29 pm

Here is the project, there are a few extension modules we sell on top. Also happy to help with integration / building proprietary extensions. Feel free to contact me if of any interest.
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