Abstract
So far we have seen how to calculate exposures when we have sufficient time and computational capability However, often that is not the case The typical problems that we may face include not having access to a Monte Carlo simulation engine, slow pricers,1 lack of a collateral algorithm in the Monte Carlo engine, etc.
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© 2015 Ignacio Ruiz
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Ruiz, I. (2015). Proxies for Exposure Measurement. In: XVA Desks — A New Era for Risk Management. Applied Quantitative Finance. Palgrave Macmillan, London. https://doi.org/10.1057/9781137448200_6
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DOI: https://doi.org/10.1057/9781137448200_6
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-68622-3
Online ISBN: 978-1-137-44820-0
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