A Gentle Introduction to Default Risk and Counterparty Credit Modelling

In this paper we introduce the reader to the basic tools for the computation of Counterparty Credit Risk such as Credit Value Adjustment and Debt Value Adjustment. We also present the effect of mitigating clauses, like netting and collateral, in reducing the credit exposure. Detailed numerical examples are presented with reference to commodity derivatives

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Year of publication:	2016
Authors:	Ballotta, Laura
Other Persons:	Fusai, Gianluca (contributor) ; Marena, Marina (contributor)
Publisher:	[2016]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (57 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 30, 2016 erstellt
Other identifiers:	10.2139/ssrn.2816355 [DOI]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques ; C65 - Miscellaneous Mathematical Tools ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012985988