Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives

doi:10.1007/s10255-022-1074-8

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	Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives
	Li, Shuang 1,2; Peng, Cheng 1,2; Bao, Ying 3; Zhao, Yan-long 1,2; Cao, Zhen 2
	2022-04-01
发表期刊	ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
ISSN	0168-9673
卷号	38 期号:2 页码:254-270
摘要	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.
关键词	forward rate agreement counterparty credit risk expected exposure potential future exposure
DOI	10.1007/s10255-022-1074-8
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[62025306]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000781349200002
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/60329
专题	中国科学院数学与系统科学研究院
通讯作者	Zhao, Yan-long
作者单位	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
推荐引用方式 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.