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Quantitative Finance Volume 18, 2018 - Issue 10

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Efficient exposure computation by risk factor decomposition

C. S. L. de GraafComputational Science Lab, University of Amsterdam, 1098 XH, Amsterdam, The Netherlands.;Mathematical Institute & Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, OX2 6GG|6ED, UK.Correspondence[email protected]
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D. KandhaiComputational Science Lab, University of Amsterdam, 1098 XH, Amsterdam, The Netherlands.;Quantitative Analytics, ING Bank, 1102 BD, Amsterdam, The Netherlands.View further author information

C. ReisingerMathematical Institute & Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, OX2 6GG|6ED, UK.View further author information

Pages 1657-1678 | Received 06 Nov 2016, Accepted 25 Jan 2018, Published online: 24 Apr 2018

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https://doi.org/10.1080/14697688.2018.1435902
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