The following sections are included: Counterparty Credit Risk for OTC Instruments Current Exposure Method (CEM) Exposure at Contract Level Exposure at Counterparty Level Exposure with Collateral Payments Potential Future Exposure (PFE) Regulatory Methodology From the Add-on Factors to the Parametric Approach Parametric Potential Future Exposure

EAD Modeling

Giuseppe Orlando
;
2022-01-01

Abstract

The following sections are included: Counterparty Credit Risk for OTC Instruments Current Exposure Method (CEM) Exposure at Contract Level Exposure at Counterparty Level Exposure with Collateral Payments Potential Future Exposure (PFE) Regulatory Methodology From the Add-on Factors to the Parametric Approach Parametric Potential Future Exposure
2022
978-981-12-5235-8
978-981-12-5236-5
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11586/381289
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