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Estimating the Counterparty Risk Exposure by Using the Brownian Motion Local Time
Work
Year: 2017
Type: article
Abstract: In recent years, the counterparty credit risk measure, namely the default risk in over-the-counter (OTC) derivatives contracts, has received great attention by banking regulators, specifically within... more
Source: International Journal of Applied Mathematics and Computer Science
Authors Michele Bonollo, Luca Di Persio, Luca Mammi, Immacolata Olivad
Institutions IMT School for Advanced Studies Lucca, University of Verona, UniCredit (Italy)
Cites: 31
Cited by: 3
Related to: 10
FWCI: 0.308
Citation percentile (by year/subfield): 71.21
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,100