Credit risk exposure with respect and currency swaps

DOI10.1016/0377-2217(95)00290-1zbMath0924.90011OpenAlexW2068774188MaRDI QIDQ1278224

Evert Jan Stokking, Robert Christopher Coppes

Publication date: 22 February 1999

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(95)00290-1

zbMATH Keywords

modellingsimulationrisk analysiscredit riskfinancebanking

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Are exchange rate changes normally distributed?

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