Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
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Publisher
New York, NY: Springer US
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Language
English
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Publisher
New York, NY: Springer US
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Scope and Contents
Contents
Considering counterparty credit risk (CCR) for derivatives using valuation adjustments (CVA) is a fundamental and challenging task for entities involved in derivative trading activities. Particularly calculating the expected exposure is time consuming and complex. This paper suggests a fast and simple semi-analytical approach for exposure calculati...
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Full title
Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
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TN_cdi_proquest_journals_2439498868
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2439498868
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ISSN
1573-7144,1380-6645
E-ISSN
1573-7144
DOI
10.1007/s11147-019-09165-w
