Do you have experience of using PCA in the XVA space either for PnL explain or constructing hedge baskets? Would you be interested to discuss it? 

Thanks

Background:  - even if one just focuses on major currencies, the number of conventional bucketed DV01 risk sensitivities (covering: OIS; 1M; 3M; 6M; and xccy basis risks for a given currency) is large - in the absence of AAD* enabled technology, computing these sensitivities in the context of XVA se...

<t>Hi I'd like to resurrect this thread. When calibrating HW mean reversion for Bermudans using a fully calibrated LMM what would be the recommended instrument set for LMM calibration? CMS spread options strike me as providing market information on terminal correlation for swap rates of different ma...

<t>A naive question around CDS in a foreign currency.Say I have a CDS that trades in USD and I'd like to create (in a buying protection sense) the equivalent CDS position in another currency CCY. I'm putting risk issues around the IR in both USD and CCY to one side for now since I think my bigger co...

Hi Max, sorry to be a pain but if you get a chance I would be grateful if you could forward me a copy of your document.loadofcobblers@hotmail.comMany thanks in advance

<t>I think the scenarios and the 'model' used to generate the scenarios do influence the price / adjustment even when there is no timing adjustment as in your situation where fixing date = payment date. Scenarios - for a given 'model' and assuming the upper bound scenario is a sufficiently high swap...

<t>I thought the (worrying) problem with Hagan's approximation to SABR was that at low strikes it can give rise to what amounts to negative densities (and this gets progressively worse at longer option expiries?). That being the case, is it possible for an SDE that corresponds exactly to Hagan's app...

<t>Our clients that take exposure to cancellable range accrual (libor, cms, cms spread etc) swaps like to know the probability of these structures being called. Typically we?ve been providing them ?risk neutral? probabilities, inferred from the relevant pricing model under either the spot or termina...

<t>A few questions for those familiar with and using Markov Functional models in practice. Is it fair to say, particularly when attempting to fit various smiles at different expiries, that the MF approach is qualitatively a little like a local vol approach? I’m basing that on an intuitive sense that...

<t>Thanks for the contributions so far on estimating CMS pairwise correlation, any others would be welcomed.My other point of interest was the practical trading side. Thoughts, previous experience, other?============================================================Practical pricing and risk managemen...

<t>Thanks for your feedback.Agreed, term structure (and strike dependency!) would be great, but the issue is where to get it from?No traded CMS spread options = no implied correlations.No traded CMS swaps or caplet = no market traded historical correlations.I could go back and generate a history of ...

<t>Problem: pricing a fairly conventional non-callable 10s2s CMS spread option. Planning on using semi-analytic approach (a la Berrahoui to include implied CMS smile). I need a pairwise correlation for the two CMS rates. Trouble is the currency in question doesn’t have a liquid CMS swap or cap marke...

...here's the short piece on application to CDOs

<t>Have you seen / are you familiar with Bank of America's "Lighthouse" model? It was originally developed as a tool for optimising constituent weights of single credit exposures in an untranched portoflio. From memory I think you have the option to either:a) specify a given level of weighted averag...

<t>Didn't get any feedback on the General forum so reposting on Student.------------------------------------------------------------------------------------------Question on converting yield vols to price vols:Hull (5th edition, pg 514, eqn 22.6) provides an approximate conversion from yield vol to ...