"My dream is that banks will apply the algorithm widely"

News - 07 April 2017

PhD candidate Qian Feng obtained her doctorate on April 4th with her thesis “Advanced Estimation of Credit Valuation Adjustment”. She performed her research at Centrum Wiskunde & Informatica (CWI) under the supervision of Kees Oosterlee. 

Qian: “Since the recent financial crisis, financial modelling and risk management have changed. The Basel Committee on Banking Supervision has introduced new documentation with banking regulations. Banks should reserve a certain amount of capital to buffer for the default risk of all counterparties in their portfolios. The use of models that take this so-called counterparty credit risk into account, results in an increased computational demand within banks. This is a very critical problem. Within my research I have focused on the computational problems in pricing and measurements aspects of the counterparty credit risk. I have developed an efficient algorithm, based on the Stochastic Grid Bundling Method, for credit valuation adjustment. I hope that the industry will be interested in the algorithm. My dream is that banks will apply the algorithm widely.”

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