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

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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: Michele Bonollo, Luca Di Persio, Luca Mammi and Immacolata Olivad

Open Access

|Jul 2017

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

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Accepted on: Feb 4, 2017

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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:

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.

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