by amidel | Dec 31, 2024 | Publications
Abstract ZARONIA is poised to replace JIBAR as the primary reference rate for ZAR-denominated financial products, influencing trillions of rand in outstanding notional value. This transition necessitates a robust methodology for constructing a ZARONIA Overnight...
by xamalytics | Dec 31, 2024 | Publications
Abstract Electronic trading platforms for high-flow financial products demand rapid computation of marginal Potential Future Exposure (PFE) and Credit Value Adjustment (CVA) impacts for potential new trades. Traditional Monte Carlo methods, while accurate, are...
