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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…
q-fin.PR2015
A Quantization Approach to the Counterparty Credit Exposure Estimation
M. Bonollo, L. Di Persio, I. Oliva +1
During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfi…