Monthly Archives: October 2009

Counterparty risk calculation guide

Posted on October 24, 2009 by Cyril

This paper by S.  Zhu and M. Pykhtin provides a blueprint for counterparty risk modelling framework.

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Exposure at default calculation

Posted on October 3, 2009 by Cyril

Exposure at default calculation for one contract can be done analytically, but for a big portfolio one has to resort to Monte-Carlo simulation. Continue reading →

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