Zhou, Richard (2015): Exact Methods for PathDependent Credit Exposure.

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Abstract
Path dependent counterparty credit risk exposure modeling poses challenges. In this paper, we present models for consistent and accurate estimation of counterparty credit exposure involving barrier option and European swaption under the general Monte Carlo simulation framework. In particular, we discuss how to consistently estimate the pathwise swaption exercise probability and accurate monitoring of barrier crossing. We present exact formulation for standalone expected exposure and potential future exposure for swap, swaption and barrier option without monte carlo simulation. The exact formulation is of practical importance to computing standalone exposure profiles, exposure model validation and system benchmarking.
Item Type:  MPRA Paper 

Original Title:  Exact Methods for PathDependent Credit Exposure 
English Title:  Exact Methods for PathDependent Credit Exposure 
Language:  English 
Keywords:  Counterparty credit exposure, expected exposure, PFE, swap, swaption, barrier option, monte carlo 
Subjects:  C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C60  General 
Item ID:  64647 
Depositing User:  Richard Zhou 
Date Deposited:  28 May 2015 02:30 
Last Modified:  26 Sep 2019 13:54 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/64647 