Estimating the Counterparty Risk Exposure by Using the Brownian Motion Local Time
In recent years, the counterparty credit risk measure, namely the default risk in over-the-counter (OTC) derivatives contracts, has received great attention by banking regulators, specifically within the frameworks of Basel II and Basel III. More explicitly, to obtain the related risk figures, one i...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2017-06-01
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| Series: | International Journal of Applied Mathematics and Computer Science |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/amcs-2017-0030 |