Analytical expressions to counterparty credit risk exposures for interest rate derivatives (Q2125642)
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scientific article; zbMATH DE number 7507369
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Analytical expressions to counterparty credit risk exposures for interest rate derivatives |
scientific article; zbMATH DE number 7507369 |
Statements
Analytical expressions to counterparty credit risk exposures for interest rate derivatives (English)
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14 April 2022
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forward rate agreement
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counterparty credit risk
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expected exposure
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potential future exposure
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0.8092455863952637
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0.7822161316871643
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0.776909589767456
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0.7757886052131653
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0.7628544569015503
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