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Exposure Measurement for Uncollateralised Portfolios

  • Chapter
XVA Desks — A New Era for Risk Management

Part of the book series: Applied Quantitative Finance ((AQF))

  • 294 Accesses

Abstract

Let’s start our review of exposure measurement with the most popular method: Brownian Monte Carlo.

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Authors and Affiliations

  1. iRuiz Consulting, UK

    Ignacio Ruiz (Founder and Director)

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  1. Ignacio Ruiz
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© 2015 Ignacio Ruiz

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Ruiz, I. (2015). Exposure Measurement for Uncollateralised Portfolios. In: XVA Desks — A New Era for Risk Management. Applied Quantitative Finance. Palgrave Macmillan, London. https://doi.org/10.1057/9781137448200_3

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