Excerpt
Table of Contents
List of Abbreviations
Table of Figures
1. Introduction
2. Assessment on counterparty credit exposure
2.1. Metrics and characteristics
2.1.1. Metrics of counterparty credit exposure
2.1.2. Driving factors
2.1.3. The impact of netting
2.1.4. The role of collateral
2.1.5. Measurement objectives and their implications for modeling
2.2. Quantification of credit risk exposure
2.2.1. Risk management counterparty exposure: Add-on method
2.2.2. Pricing counterparty exposure: CVA
2.2.3. Monte Carlo simulation
3. Summary
Appendix
References
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- Frederik Wulf (Author), 2015, Counterparty Credit Exposure. An Intuitive Guide to Credit Exposure Measurement, Munich, GRIN Verlag, https://www.grin.com/document/301782
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