Deployment of sophisticated simulation methods for estimating counterparty credit exposure for derivatives began in earnest in the early 1990s. The first such system with which I was involved went live in December 1993 and was the subject of my first contribution to Risk.2 In 1995, Risk published a volume of collected papers entitled Derivative Credit Risk. It even included a discussion of ways to integrate default likelihood into the contingent exposure simulation process.
Looking only at th
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