Machine Learning Methods for Pricing, Exposure Simulation and XVA of Interest Rate and Quanto Derivatives The valuation and risk analysis of modern derivative portfolios increasingly rely on large-scale Monte Carlo simulation frameworks. Applications range from the pricing of callable interest…
Valuation of Illiquid Financial Instruments Accurate valuation of illiquid financial instruments remains one of the key challenges for financial institutions, asset managers and investment funds. Unlike exchange-traded securities, many instruments are characterized by limited market transparency, infrequent transactions and a…
Syndicated Loans: Valuation, Risk Management and Market Practice Syndicated loans have become an important asset class for banks, debt funds, CLO managers and institutional investors. Despite their growing relevance, valuation and risk management practices often remain significantly more challenging than…
