Valuation and Sensitivities

Giovanni Cesari (), John Aquilina (), Niels Charpillon (), Zlatko Filipović (), Gordon Lee () and Ion Manda ()
Additional contact information
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 4 in Modelling, Pricing, and Hedging Counterparty Credit Exposure, 2009, pp 79-98 from Springer

Abstract: Abstract Conceptually there are two steps in computing credit exposure: simulation followed by pricing. First, one needs to simulate scenarios from the distribution of the underlying processes that drive the price of the product concerned. Secondly, the price of this product needs to be evaluated at each time in the simulation schedule for each of the simulated scenarios.

Keywords: Price Sensitivity; Swap Rate; Price Distribution; Counterparty Risk; Option Holder (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-04454-0_4

Ordering information: This item can be ordered from
http://www.springer.com/9783642044540

DOI: 10.1007/978-3-642-04454-0_4

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().