Estimating the counterparty risk exposure by using the Brownian motion local time
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Publication:2011920
DOI10.1515/amcs-2017-0030zbMath1367.91187arXiv1704.03244OpenAlexW2606551483MaRDI QIDQ2011920
Michele Bonollo, Luca Mammi, Luca Di Persio, Immacolata Oliva
Publication date: 27 July 2017
Published in: International Journal of Applied Mathematics and Computer Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1704.03244
exposure at defaultcounterparty credit riskBasel financial frameworklocal times Brownian motionover-the-counter derivatives
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