Advertisement

Modelling Framework

  • Giovanni CesariEmail author
  • John Aquilina
  • Niels Charpillon
  • Zlatko Filipović
  • Gordon Lee
  • Ion Manda
Chapter
Part of the Springer Finance book series (FINANCE)

Abstract

Our goal is to define a general framework which can be used to compute counterparty credit exposure for all types of transactions. As highlighted in the Introduction, computing counterparty exposure consists of computing distributions of prices at future times. For simple products this can be achieved by scenario simulation, followed by pricing on each scenario, at each time step. However, in the case where no analytical form is known for the price of the product, this approach is not practical and a different approach is required.

Keywords

Foreign Currency Credit Default Swap Reference Currency Default Probability Credit Spread 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Giovanni Cesari
    • 1
    Email author
  • John Aquilina
    • 1
  • Niels Charpillon
    • 1
  • Zlatko Filipović
    • 1
  • Gordon Lee
    • 1
  • Ion Manda
    • 1
  1. 1.UBS AGLondonUK

Personalised recommendations