Monte Carlo methods in finance

OSFI issues proposed regulatory changes to the treatment of credit valuation adjustments

Retrieved on: 
Friday, June 18, 2021
Finance, Money, Mathematical finance, Credit risk, Academic disciplines, Monte Carlo methods in finance, Actuarial science, Financial risk modeling, XVA, Credit valuation adjustment, Capital requirement, Office of the Superintendent of Financial Institutions

OTTAWA, ON, June 18, 2021 /CNW/ - Today the Office of the Superintendent of Financial Institutions (OSFI) launched an industry consultation on proposed regulatory changesto the treatment of credit valuation adjustments (CVA) and market risk hedges of other valuation adjustments of over-the-counter derivatives referred to as XVA.

Key Points: 
  • OTTAWA, ON, June 18, 2021 /CNW/ - Today the Office of the Superintendent of Financial Institutions (OSFI) launched an industry consultation on proposed regulatory changesto the treatment of credit valuation adjustments (CVA) and market risk hedges of other valuation adjustments of over-the-counter derivatives referred to as XVA.
  • The proposed revisions affect OSFI's Capital Adequacy Requirements (CAR) Guideline, Chapter 8 on CVA risk.
  • The proposed changes are a continuation of OSFI's industry consultation on proposed regulatory changesto incorporate the latest and final round of BaselIII reforms into its capital, leverage and related disclosure guidelines for banks announced in March 2021 .
  • OSFI will publish a summary of comments with the release of its final guidance in late 2021.

BBVA and Zapata Computing Release Study Showing the Potential to Speed Up Monte Carlo Calculations for Credit Valuation Adjustments with Quantum Computing

Retrieved on: 
Wednesday, June 9, 2021
Academic disciplines, Applied mathematics, Fields of mathematics, Mathematical finance, Quantum information science, Monte Carlo methods in finance, Credit risk, Monte Carlo method, Numerical analysis, Rigetti Computing, Credit valuation adjustment, Quantitative analysis

The projects aim was to identify challenges and opportunities for quantum algorithms to speed up Monte Carlo simulations in finance.

Key Points: 
  • The projects aim was to identify challenges and opportunities for quantum algorithms to speed up Monte Carlo simulations in finance.
  • Monte Carlo simulations are commonly used for credit valuation adjustment (CVA) and derivative pricing.
  • Zapata and BBVAs research reveals practical ways for quantum algorithms to speed up the Monte Carlo simulation process.
  • Zapata partners closely with hardware providers across the quantum ecosystem such as Amazon, Google, Honeywell, IBM, IonQ, Microsoft and Rigetti.

FINCAD Launches Accounting CVA Services for Japanese Financial Institutions

Retrieved on: 
Wednesday, February 24, 2021
Finance, Consulting, Data management, Professional services, Technology, Finance, Money, Articles, Financial technology, CVA, Cloud computing, Mathematical finance, Monte Carlo methods in finance

Utilizing FINCADs next-generation analytics, FINCAD CVA Services will allow Japanese banks of any size and complexity of portfolios to perform the required valuation adjustment calculations for their derivatives trades.

Key Points: 
  • Utilizing FINCADs next-generation analytics, FINCAD CVA Services will allow Japanese banks of any size and complexity of portfolios to perform the required valuation adjustment calculations for their derivatives trades.
  • As a Fintech cloud company, CVA is just one of many cloud services FINCAD is able to offer our customers.
  • Launched in 2020, the FINCAD CVA Service will begin assisting several Japanese banks from April 2021.
  • Consulting services provided by Techmatrix, FINCADs local Japanese partner well versed with servicing Japanese financial institutions for over (15) years.

Scotiabank Receives the 2021 Risk.net Technology Innovation of the Year Award

Retrieved on: 
Tuesday, February 2, 2021
Finance, Companies, Mathematical finance, Economy, Monte Carlo methods in finance, Financial risk modeling, XVA, Risk, Scotiabank, ING Group

TORONTO, Feb. 2, 2021 /CNW/ - Scotiabank has been named the winner of the 2021 Technology Innovation of the Year Award by Risk.net , a leading publication for news and analysis on risk management, derivatives and regulation.

Key Points: 
  • TORONTO, Feb. 2, 2021 /CNW/ - Scotiabank has been named the winner of the 2021 Technology Innovation of the Year Award by Risk.net , a leading publication for news and analysis on risk management, derivatives and regulation.
  • Scotiabank was recognized for its delivery of the Bank's new risk engine in Global Banking and Markets, a system built for valuation adjustment calculations.
  • "Scotiabank has successfully transformed its valuation adjustments (XVA) system, resulting in both speed and accuracy improvements for the Bank's customers," said Karin Bergeron, Managing Director and Head XVA Trading, Scotiabank.
  • Scotiabank received the Technology Innovation of the Year Award at the 2021 Risk.net Risk Awards via a virtual ceremony on February 1st, 2021.

Estimated net sales of SEK 850-1,050 million and SEK 300-400 million in operational EBIT added during FY 2021/2022

Retrieved on: 
Wednesday, November 18, 2020
Finance, Money, Financial ratios, Debt, Leverage, Mathematical finance, Monte Carlo methods in finance, Economy, ebit, Margin at risk

The acquired businesses are, during the financial year ending 31 March 2022, expected to contribute to Embracer Group's net sales in the range of SEK 850-1,050 million and contribute to operational EBIT in the range of SEK 300-400 million.

Key Points: 
  • The acquired businesses are, during the financial year ending 31 March 2022, expected to contribute to Embracer Group's net sales in the range of SEK 850-1,050 million and contribute to operational EBIT in the range of SEK 300-400 million.
  • In addition, during FY 2021/2022 the expanded studio footprint is expected to bring savings on capitalized game development in the range of SEK 50-100 million.
  • The share issues are made pursuant to the authorization granted by the extra general meeting held on 16 November 2020.
  • For the right inorganic growth opportunity, financial leverage could temporarily exceed 1,0x operational EBIT to net debt, where operational EBIT is measured as management expectations for the coming twelve months.

Estimated net sales of SEK 850-1,050 million and SEK 300-400 million in operational EBIT added during FY 2021/2022

Retrieved on: 
Wednesday, November 18, 2020
Finance, Money, Financial ratios, Debt, Leverage, Mathematical finance, Monte Carlo methods in finance, Economy, ebit, Margin at risk

The acquired businesses are, during the financial year ending 31 March 2022, expected to contribute to Embracer Group's net sales in the range of SEK 850-1,050 million and contribute to operational EBIT in the range of SEK 300-400 million.

Key Points: 
  • The acquired businesses are, during the financial year ending 31 March 2022, expected to contribute to Embracer Group's net sales in the range of SEK 850-1,050 million and contribute to operational EBIT in the range of SEK 300-400 million.
  • In addition, during FY 2021/2022 the expanded studio footprint is expected to bring savings on capitalized game development in the range of SEK 50-100 million.
  • The share issues are made pursuant to the authorization granted by the extra general meeting held on 16 November 2020.
  • For the right inorganic growth opportunity, financial leverage could temporarily exceed 1,0x operational EBIT to net debt, where operational EBIT is measured as management expectations for the coming twelve months.

DGAP-News: KWS SAAT SE & Co. KGaA: KWS completes a successful fiscal 2019/2020 - Growth in all product segments

Retrieved on: 
Friday, October 23, 2020
Mathematical finance, Monte Carlo methods in finance, Finance, Money, ebit, Margin at risk, Liquidity at risk, Economy

On the other hand, there were positive exchange rate effects from the increase in the US dollar's value against the euro.

Key Points: 
  • On the other hand, there were positive exchange rate effects from the increase in the US dollar's value against the euro.
  • The segment's income rose by 15.9% to 67.1 (57.9) million.
  • The segment's EBIT margin rose from 7.8% to 8.6%.
  • The segment's income increased by around 15% to 26.4 (23.0) million, while the EBIT margin was 13.8%, slightly up over the previous year (13.5%).

DGAP-News: Grammer AG: First half of 2020 significantly impacted by the effects of the COVID-19 pandemic

Retrieved on: 
Thursday, August 13, 2020
Money, Finance, Fundamental analysis, Profit, ebit, Mathematical finance, Monte Carlo methods in finance, Earnings before interest and taxes, Liquidity at risk, Devaluation, Economy

Ursensollen, August 13, 2020 - Grammer AG sustained a significant decline in revenue and earnings in the first half of 2020.

Key Points: 
  • Ursensollen, August 13, 2020 - Grammer AG sustained a significant decline in revenue and earnings in the first half of 2020.
  • Earnings before interest and taxes (EBIT) amounted to -53.0 million euros in the first half of the year (01-06 2019: 50.2 million euros).
  • This also includes one-time effects of a total of -24.2 million euros, of which a significant portion is attributable to inventory devaluation.
  • In particular, currency translation effects as well as the directly attributable costs for corona-related protection and response measures were eliminated from operating EBIT.

AxiomSL the front runner in corroborating FRTB calculations with ISDA benchmarking to meet industry regulatory requirements

Retrieved on: 
Tuesday, August 11, 2020
Finance, Money, Credit risk, Economy, Bank regulation, Mathematical finance, Monte Carlo methods in finance, Credit valuation adjustment, Standardized approach, FRTB, Valuation, Basel IV

This will help our clients to better manage Basel IV requirements, as well as future US regulatory mandates.

Key Points: 
  • This will help our clients to better manage Basel IV requirements, as well as future US regulatory mandates.
  • The golden source calculations are designed to ensure the credibility of firms' standardised calculations for FRTB, SA-CCR and CVA (Credit Valuation Adjustment).
  • ISDA is working with all stakeholders to promote the global harmonisation of these calculations required by regulatory authorities.
  • AxiomSL's calculations will match ISDA's golden source calculations, thereby providing out-of-the-box collaborative industry credibility and also the required robustness for regulatory scrutiny.

AxiomSL the front runner in corroborating FRTB calculations with ISDA benchmarking to meet industry regulatory requirements

Retrieved on: 
Tuesday, August 11, 2020
Finance, Money, Credit risk, Economy, Bank regulation, Mathematical finance, Monte Carlo methods in finance, Credit valuation adjustment, Standardized approach, FRTB, Valuation, Basel IV

This will help our clients to better manage Basel IV requirements, as well as future US regulatory mandates.

Key Points: 
  • This will help our clients to better manage Basel IV requirements, as well as future US regulatory mandates.
  • The golden source calculations are designed to ensure the credibility of firms' standardised calculations for FRTB, SA-CCR and CVA (Credit Valuation Adjustment).
  • ISDA is working with all stakeholders to promote the global harmonisation of these calculations required by regulatory authorities.
  • AxiomSL's calculations will match ISDA's golden source calculations, thereby providing out-of-the-box collaborative industry credibility and also the required robustness for regulatory scrutiny.