Modelling Framework

Giovanni Cesari (), John Aquilina (), Niels Charpillon (), Zlatko Filipović (), Gordon Lee () and Ion Manda ()
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Giovanni Cesari: UBS AG
John Aquilina: UBS AG
Niels Charpillon: UBS AG
Zlatko Filipović: UBS AG
Gordon Lee: UBS AG
Ion Manda: UBS AG

Chapter Chapter 2 in Modelling, Pricing, and Hedging Counterparty Credit Exposure, 2009, pp 23-43 from Springer

Abstract: 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.

Keywords: Foreign Currency; Credit Default Swap; Reference Currency; Default Probability; Credit Spread (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-04454-0_2

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DOI: 10.1007/978-3-642-04454-0_2

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