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Estimating the Counterparty Risk Exposure by Using the Brownian Motion Local Time Cover

Estimating the Counterparty Risk Exposure by Using the Brownian Motion Local Time

International Journal of Applied Mathematics and Computer Science
Volume 27 (2017): Issue 2 (June 2017)
By: ,  ,   and    
Open Access
|Jul 2017
Authors

Authors

Michele Bonollo

michele.bonollo@imtlucca.it

IMT Lucca/Iason Ltd/Numerix LLC Piazza S. Francesco 19, 55100 Lucca (LU), Via Torino 2, 20123, Milan, Italy

Luca Di Persio

luca.dipersio@univr.it

Department of Computer Science University of Verona, Strada le Grazie 15, 37134, Verona, Italy

Luca Mammi

luca.mammi@unicredit.eu

Unicredit Group Tower A, Piazza Gae Aulenti, 3, 20154, Milan, Italy

Immacolata Olivad

immacolata.oliva@univr.it

Department of Economics University of Verona, Via Cantarane 24, 30129, Verona, Italy
DOI: https://doi.org/10.1515/amcs-2017-0030 | Journal eISSN: 2083-8492 | Journal ISSN: 1641-876X
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Language: English
Page range: 435 - 447
Submitted on: Nov 30, 2016
Accepted on: Feb 4, 2017
Published on: Jul 8, 2017
Published by: University of Zielona Góra
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year
Keywords:
counterparty credit risk,
exposure at default,
local times Brownian motion,
over-the-counter derivatives,
Basel financial framework
Related subjects:
Mathematics,
Applied mathematics

© 2017 Michele Bonollo, Luca Di Persio, Luca Mammi, Immacolata Olivad, published by University of Zielona Góra
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Volume 27 (2017): Issue 2 (June 2017)
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