| Lizenz: Creative Commons Namensnennung 4.0 International PDF - Veröffentlichte Version (3MB) |
- URN zum Zitieren dieses Dokuments:
- urn:nbn:de:bvb:355-epub-443168
- DOI zum Zitieren dieses Dokuments:
- 10.5283/epub.44316
Zusammenfassung
Considering counterparty credit risk (CCR) for derivatives using valuation adjustments (CVA) is a fundamental and challenging task for entities involved in derivative trading activities. Particularly calculating the expected exposure is time consuming and complex. This paper suggests a fast and simple semi-analytical approach for exposure calculation, which is a modified version of the new ...
