Analytical expressions to counterparty credit risk exposures for interest rate derivatives

DOI10.1007/S10255-022-1074-8zbMath1486.91086OpenAlexW4226073390MaRDI QIDQ2125642

Shuang Li, Yanlong Zhao, Zhen Cao, Ying Bao, Cheng Peng

Publication date: 14 April 2022

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-022-1074-8

zbMATH Keywords

forward rate agreementcounterparty credit riskexpected exposurepotential future exposure

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Unnamed Item
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• An equilibrium characterization of the term structure

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