Methods, challenges and best practices for pricing syndicated loans on less liquid markets.

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Approaches for fair value estimation when observable market prices are limited or unavailable.

Read Article →https://www.qs-finance.com/valuation-of-illiquid-instruments/

Machine learning techniques for derivative pricing, exposure simulation and XVA within advanced Monte Carlo and stochastic modelling frameworks.

Read Article → https://www.qs-finance.com/machine-learning-methods-for-pricing-exposure-simulation-and-xva-of-interest-rate-and-quanto-derivatives/

A path-based framework for stochastic liquidity risk analysis. The methodology combines data-driven risk-factor selection and Monte Carlo cash-flow simulation with Occupation Time, Expected Time Under Stress (ETUS), excursion and severity measures to capture the duration, recurrence and depth of liquidity stress.

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