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Valuation and Sensitivities

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

Abstract

Conceptually there are two steps in computing credit exposure: simulation followed by pricing. First, one needs to simulate scenarios from the distribution of the underlying processes that drive the price of the product concerned. Secondly, the price of this product needs to be evaluated at each time in the simulation schedule for each of the simulated scenarios.

Keywords

Price Sensitivity Swap Rate Price Distribution Counterparty Risk Option Holder 
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.

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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

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