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