Abstract
So far we have discussed how to model the exposure of a portfolio without any collateral, but we have seen that most of the netting sets these days are collateralised In this section we will discuss how to account for collateral when calculating exposure metrics.
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© 2015 Ignacio Ruiz
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Ruiz, I. (2015). Exposure Measurement for Collateralised Portfolios. In: XVA Desks — A New Era for Risk Management. Applied Quantitative Finance. Palgrave Macmillan, London. https://doi.org/10.1057/9781137448200_4
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DOI: https://doi.org/10.1057/9781137448200_4
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-68622-3
Online ISBN: 978-1-137-44820-0
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