Analysing counterparty risk

In an attempt to improve on existing regulatory approaches to derivatives counterparty creditrisk, Eduardo Canabarro, Evan Picoult and Tom Wilde present a new method based on expectedpositive exposure (EPE). Using a one-factor conditional independence framework, they derive aformula for the ratio of EPE to fixed loan-equivalent exposures, showing its dependence onvarious portfolio parameters and comparing analytical with Monte Carlo calculations

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