Creator:

Bonollo, Michele ; Di Persio, Luca ; Mammi, Luca ; Oliva, Immacolata

Contributor:

Korbicz, Józef (1951- ) - red. ; Uciński, Dariusz - red.

Title:

Estimating the counterparty risk exposure by using the Brownian motion local time

Group publication title:

AMCS, Volume 27 (2017)

Subject and Keywords:

counterparty credit risk ; exposure at default ; local times Brownian motion ; over-the-counter derivatives ; Basel financial framework

Abstract:

In recent years, the counterparty credit risk measure, namely the default risk in over-the-counter (OTC) derivatives contracts, has received great attention by banking regulators, specifically within the frameworks of Basel II and Basel III. More explicitly, to obtain the related risk figures, one is first obliged to compute intermediate output functionals related to the mark-to-market position at a given time no exceeding a positive and finite time horizon. The latter implies an enormous amount of computational effort is needed, with related highly time consuming procedures to be carried out, turning out into significant costs. To overcome the latter issue, we propose a smart exploitation of the properties of the (local) time spent by the Brownian motion close to a given value.

Publisher:

Zielona Góra: Uniwersytet Zielonogórski

Date:

2017

Resource Type:

artykuł

DOI:

10.1515/amcs-2017-0030

Pages:

435-447

Source:

AMCS, volume 27, number 2 (2017) ; click here to follow the link

Language:

eng

License CC BY 4.0:

click here to follow the link

Rights:

Biblioteka Uniwersytetu Zielonogórskiego