Skip to content

Latest commit

 

History

History
109 lines (78 loc) · 4.39 KB

PortfolioCore.md

File metadata and controls

109 lines (78 loc) · 4.39 KB
Raw

Portfolio Core Module

Portfolio Core Module contains libraries that implement Portfolio Contruction and Asset Liability, along with Exposure, Margin, XVA, and Capital Analytics.

Component Libraries

Asset Allocation Analytics Coverage

  • Modern Portfolio Theory
  • The Black Litterman Model
  • The Intuition behind Black Litterman Model Portfolios
  • Incorporating User Specified Confidence Levels
  • Simplified Black Litterman Surplus Optimizer
  • Multiple Security Portfolios Optimal Trajectory
  • Asset Allocation Workspace Objects
  • Asset Allocation Objective Terms
  • Asset Allocation Constraint Terms

Asset Liability Analytics Coverage

  • Dynamic Asset Liability Matching Model
  • Fokker-Planck Equation
  • Ornstein Uhlenbeck Process
  • Vasicek Model
  • Cox-Ingersoll-Ross Model

Capital Analytics Coverage

  • Basel II
  • Basel III
  • VaR and Stress Methodology – Integration and Testing
  • Integrated VaR and Stress Testing Risk Capital Methodology
  • Trading Risk Capital Beta Allocation
  • Two-Beta Allocation of Trading Capital
  • Reporting Flow
  • Enhanced Business Hierarchy for VaR Stress Estimation
  • Comparison of Hierarchies

Exposure Analytics Coverage

  • Modeling Counterparty Credit Exposure in the Presence of Margin Agreements
  • Estimation of Margin Period of Risk

Margin Analytics Coverage

  • Regression Sensitivities for Margin Portfolios
  • Principles Behind ISDA SIMM Specification
  • ISDA SIMM Methodology
  • Dynamic Initial Margin Impact on Exposure
  • CCP and SIMM Initial Margin

XVA Analytics Coverage

  • Collateral Agreements and Derivative Valuation
  • Cross Asset Random Number Generator
  • Core CVA/DVA Model
  • Cross Asset CVA Modeling, Testing, and Validation
  • Exposure Aggregation and XVA Calculation in Cross-Asset Model
  • Prudent Adjustments
  • CVA And Funding Adjustments PDE
  • Accounting for OTC Derivatives: Funding Adjustments and Rehypothecation Option
  • Funding and Re-Hypothecation Adjustment - Motivation
  • Albanese and Andersen (2014) Results Summary
  • CET1 Capital Deductions in Basel III and Capital Structure Considerations
  • Accounting Principles, Units of Accounts, and Valuation Adjustment Metrics
  • Accounting Cash Flows
  • Credit and Funding Valuation Adjustments
  • Triggers and Close-out Adjustments
  • Entry Prices, Exit Prices, and Trade FTP
  • Liquidity Spreads, Asset Liability Symmetry, and Alternative Allocations for Excess Collateral
  • Albanese and Andersen (2014) Case Study
  • Conclusions with Funding Adjustments with RHO
  • The FVA Puzzle: Accounting, Risk Management, and Collateral Trading
  • Derivatives Funding, Netting, and Accounting

DROP Specifications