collaborators

1 paper

q-fin.PR2017

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

Michele Bonollo, Luca Di Persio, Luca Mammi +1

In recent years, the counterparty credit risk measure, namely the default risk in \emph{Over The Counter} (OTC) derivatives contracts, has received great attention by banking regul…