GRAAF, CORNELIS S. L. DE; FENG, QIAN; KANDHAI, DRONA; … - In: International Journal of Theoretical and Applied … 17 (2014) 04, pp. 1450024-1
Three computational techniques for approximation of counterparty exposure for financial derivatives are presented. The exposure can be used to quantify so-called Credit Valuation Adjustment (CVA) and Potential Future Exposure (PFE), which are of utmost importance for modern risk management in...