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Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives

文献类型：期刊论文

作者Li, Shuang2,3; Peng, Cheng2,3; Bao, Ying1; Zhao, Yan-long2,3; Cao, Zhen2
刊名ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
出版日期2022-04-01
卷号38期号:2页码:254-270
关键词forward rate agreement counterparty credit risk expected exposure potential future exposure
ISSN号0168-9673
DOI10.1007/s10255-022-1074-8
英文摘要This paper proposes an approximate analytical solution method to calculate counterparty credit risk exposures. Compared with the Standard Approach for measuring Counterparty Credit Risk and the Internal Modeling Method provided by Basel Committee, the proposed method significantly improves the calculation efficiency based on sacrificing a little accuracy. Taking Forward Rate Agreement as an example, this article derives the exact expression for Expected Exposure. By approximating the distribution of Forward Rate Agreement's future value to a normal distribution, the approximate analytical expression for Potential Future Exposure is derived. Numerical results show that this method is reliable and is robust under different parameters.
资助项目National Natural Science Foundation of China[62025306]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000781349200002
出版者SPRINGER HEIDELBERG
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/60328]  
专题中国科学院数学与系统科学研究院
通讯作者Zhao, Yan-long
作者单位1.Ind & Commercial Bank China, Beijing 100032, Peoples R China
2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, KLSC, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Li, Shuang,Peng, Cheng,Bao, Ying,et al. Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2022,38(2):254-270.
APA Li, Shuang,Peng, Cheng,Bao, Ying,Zhao, Yan-long,&Cao, Zhen.(2022).Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,38(2),254-270.
MLA Li, Shuang,et al."Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 38.2(2022):254-270.

入库方式： OAI收割

来源：数学与系统科学研究院

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