Sponsor's article > Counterparty risk – the next generation
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As has been highlighted previously in Risk1, a proposal has been put forward jointly by the International Swaps and Derivatives Association, the British Bankers’ Association and the Bond Market Association to bring simulation-based counterparty credit exposure estimates into the regulatory capital framework. The idea is to estimate expected positive exposure for each counterparty based on a Monte Carlo simulation of future market conditions. The proposal is to base the risk-adjusted assets to be
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