We develop the algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments. Assuming that the portfolio is priced by the backward (American) Monte-Carlo method, our approach allows calculating the credit exposure as a pricing...

Servicing clients can require posting Initial Margin (IM) for client trades, and for their hedges. IM should be forecast for both and reflected in MVA. For non-vanillas with dynamic hedges, forecasting hedge-trade IM is challenging as future hedge ratios are necessary, and future sensitivities...