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Architecture

  • Giovanni CesariEmail author
  • John Aquilina
  • Niels Charpillon
  • Zlatko Filipović
  • Gordon Lee
  • Ion Manda
Chapter
Part of the Springer Finance book series (FINANCE)

Abstract

We have described how the AMC algorithm translates into a computational framework that allows systematic counterparty exposure computation of different products. The main result achieved so far is that, within this framework, products are described via their generic features and not their specific definition. This has provided the capability of using functions of financial quantities, which we have called statistics, to define products. As an additional step we have introduced a Portfolio Aggregation Language, PAL, to book trades in the system and, thus, use the analytics in a flexible way. As a result the concept of a new type of product, defined in terms of price distribution of other products, has been introduced. We have called these products super-products, with the most relevant example in this context being the Contingent Credit Default Swap (C-CDS).

Keywords

Portfolio Manager Price Function Price Distribution Conceptual View Brownian Path 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Giovanni Cesari
    • 1
    Email author
  • John Aquilina
    • 1
  • Niels Charpillon
    • 1
  • Zlatko Filipović
    • 1
  • Gordon Lee
    • 1
  • Ion Manda
    • 1
  1. 1.UBS AGLondonUK

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