Speed-up credit exposure calculations for pricing and risk management
نویسندگان
چکیده
منابع مشابه
Counterparty Credit Risk Modeling: Risk Management, Pricing and Regulation
* Marco Tarenghi contributed to the numerical part on the Equity Return Swap example. We are grateful to Aurelien Alfonsi, Eymen Errais and Massimo Morini for comments and suggestions. Umberto Cherubini helped us with references and further suggestions.
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2020
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2020.1781236