Abstract
Our goal is to define a general framework which can be used to compute counterparty credit exposure for all types of transactions. As highlighted in the Introduction, computing counterparty exposure consists of computing distributions of prices at future times. For simple products this can be achieved by scenario simulation, followed by pricing on each scenario, at each time step. However, in the case where no analytical form is known for the price of the product, this approach is not practical and a different approach is required.
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© 2009 Springer-Verlag Berlin Heidelberg
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Cesari, G., Aquilina, J., Charpillon, N., Filipović, Z., Lee, G., Manda, I. (2009). Modelling Framework. In: Modelling, Pricing, and Hedging Counterparty Credit Exposure. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-04454-0_2
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DOI: https://doi.org/10.1007/978-3-642-04454-0_2
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-04453-3
Online ISBN: 978-3-642-04454-0
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