LINEAR, YET ATTRACTIVE, CONTOUR

Juan D. Cárdenas, Emmanuel Fruchard and Jean-François Picron
Additional contact information
Juan D. Cárdenas: Federal Reserve Bank of New York, 33 Maiden Lane, 24th floor, New York, NY 10038, USA
Emmanuel Fruchard: Quotient, 62 rue Beaubourg, 75003 Paris, France
Jean-François Picron: Goldman Sachs & Co., USA

Chapter 15 in Quantitative Analysis in Financial Markets:Collected Papers of the New York University Mathematical Finance Seminar(Volume III), 2002, pp 329-335 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractTo measure pre-settlement risk, a component of Credit Risk, we describe a method to quickly and accurately estimate Potential Future Exposure. Based on the properties of portfolios with single counterparties, this method determines exposures at desired confidence levels throughout a portfolio's life. Results are within 5% of a full Monte Carlo simulation estimate, but 100 times faster, while still based on full valuation, supporting an unlimited number of risk factors, and netting.

Keywords: Quantitative Analysis; Financial Markets (search for similar items in EconPapers)
Date: 2002
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