Monthly Archives: October 2009

Counterparty risk calculation guide

Posted on October 24, 2009 by

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

Posted in Finance | Leave a comment

Exposure at default calculation

Posted on October 3, 2009 by

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 →

Posted in Finance | Leave a comment