@cm27874 - do the EBA guidelines allow ageing of the portfolio? (e.g. as trades mature). I believe they don't allow rebalancing of hedges. Also, any thoughts on the Fed questions?Thanks vm.

<r>Thanks. I think the RInside package allows payoff scripting (per the second link I'd included) - I will playwith that. I'd think the scripting language is important insofar as the speed (in-memory access) and flexibility (e.g. handling array objects) matter.I found an old thread on payoff scripti...

Thanks. In your experience, what are the limitations of this (e.g. speed, for high quantile calc on portfolios) compared to other scripting tools that yoy may have tested out?

<r>Hi,Does any one have experience with payoff scripting using the Monte Carlo (MC) engine from an Open Source library such as Quantlib? Here are a few references I've found using Scala and R as scripting languages..<URL url="https://hpcquantlib.wordpress.com/2011/09/01/using-scala-for-payoff-script...

Hi,Would anyone like to add any insights? This thread is sinking fast!Thanks in advance.S.

<t>Good to finally see a discussion on IRC. A couple comments & questions:@cm27874 - your suggestion about model validation (and SR 11-7 in general) is excellent.The IRC regulatory requirements from the Fed (e.g. multi-factor model, full revaluation, stochastic recovery, etc.) are much more oner...

<t>Thanks for your comments on the book by Jon Gregory on Central Counterparties. If I read correctly, it seems to be an excellent book of the business side of CCP risk modeling (albeit less quantatitvely rigorous as Cesari's book), but does not provide enough of a risk picture for senior risk manag...

These things are not written up any where... nor are quants interested in this I presume

<r>Found this recent interesting paper by Burgard and Kjaer (B&K) <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011They"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... 534011They">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011They</LINK_TEXT></URL> id...

<t>Paper by Albanese and Andersen - "Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option"Any thoughts, in particular on their statement that fair value should not include a funding adjustment? Also, the statement that the current "FCA/FBA" method of accounting for fun...

Just to clarify - I was asking about the book on Central Counterparties (which I have not read) in the other thread. I have read this book (and parts of the one by Pykhtin), and so wanted to try and answer the question posed by Amb..

<r>I have read parts of Jon Gregory's book. It's quite well-written, although it has some typos. I personally prefer it to Pykhtin's (which I believe is a Risk book, with chapters by various authors) because the former covers many more topics, and discusses open issues in a much more "practitioner-f...

Hi,How well has this book been received, and would folks recommend it? Given the bakground of the author, I imagine quite well.. but just wanted to know if this was a go-to book where one could find all relevant CCP topics.. (instead of having to find info via google!).Thanks

Would appreciate it if could you pls elaborate. FRCs are FRAs on the DI x Dollar spread, so not sure how one could construct an inflation curve from that. Thanks in advance.

How are firms now dealing with CDO^2, considering that there is reasonable agreement on using base correlation + stoch recovery (Hitier?) for synth CDOs ?