KMS Of Academy of mathematics and systems sciences, CAS
| Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives | |
| Li, Shuang1,2; Peng, Cheng1,2; Bao, Ying3; Zhao, Yan-long1,2; Cao, Zhen2 | |
| 2022-04-01 | |
| Source Publication | ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
 |
| ISSN | 0168-9673 |
| Volume | 38Issue:2Pages:254-270 |
| Abstract | This paper proposes an approximate analytical solution method to calculate counterparty credit risk exposures. Compared with the Standard Approach for measuring Counterparty Credit Risk and the Internal Modeling Method provided by Basel Committee, the proposed method significantly improves the calculation efficiency based on sacrificing a little accuracy. Taking Forward Rate Agreement as an example, this article derives the exact expression for Expected Exposure. By approximating the distribution of Forward Rate Agreement's future value to a normal distribution, the approximate analytical expression for Potential Future Exposure is derived. Numerical results show that this method is reliable and is robust under different parameters. |
| Keyword | forward rate agreement counterparty credit risk expected exposure potential future exposure |
| DOI | 10.1007/s10255-022-1074-8 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National Natural Science Foundation of China[62025306] |
| WOS Research Area | Mathematics |
| WOS Subject | Mathematics, Applied |
| WOS ID | WOS:000781349200002 |
| Publisher | SPRINGER HEIDELBERG |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/60329 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Zhao, Yan-long |
| Affiliation | 1.Chinese Acad Sci, Acad Math & Syst Sci, KLSC, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 3.Ind & Commercial Bank China, Beijing 100032, Peoples R China |
| Recommended Citation GB/T 7714 | Li, Shuang,Peng, Cheng,Bao, Ying,et al. Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2022,38(2):254-270. |
| APA | Li, Shuang,Peng, Cheng,Bao, Ying,Zhao, Yan-long,&Cao, Zhen.(2022).Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,38(2),254-270. |
| MLA | Li, Shuang,et al."Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 38.2(2022):254-270. |
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