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Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives 期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2022, 卷号: 38, 期号: 2, 页码: 254-270
Authors:  Li, Shuang;  Peng, Cheng;  Bao, Ying;  Zhao, Yan-long;  Cao, Zhen
Favorite  |  View/Download:25/0  |  Submit date:2022/06/21
forward rate agreement  counterparty credit risk  expected exposure  potential future exposure  
Explicit expressions to counterparty credit exposures for Forward and European Option 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 卷号: 52, 页码: 14
Authors:  Li, Shuang;  Peng, Cheng;  Bao, Ying;  Zhao, Yanlong
Favorite  |  View/Download:67/0  |  Submit date:2020/05/24
Counterparty credit exposure  Explicit expressions  Forward  European Option