Estimating the counterparty risk exposure by using the Brownian motion local time

• Autorzy: Bonollo M. , Di Persio L. , Mammi L. , Oliva I.

Identyfikatory

DOI

10.1515/amcs-2017-0030

• Języki publikacji: EN

Abstrakty

EN

In recent years, the counterparty credit risk measure, namely the default risk in over-the-counter (OTC) derivatives contracts, has received great attention by banking regulators, specifically within the frameworks of Basel II and Basel III. More explicitly, to obtain the related risk figures, one is first obliged to compute intermediate output functionals related to the mark-to-market position at a given time no exceeding a positive and finite time horizon. The latter implies an enormous amount of computational effort is needed, with related highly time consuming procedures to be carried out, turning out into significant costs. To overcome the latter issue, we propose a smart exploitation of the properties of the (local) time spent by the Brownian motion close to a given value.

Słowa kluczowe

EN

counterparty credit risk; exposure at default; local times Brownian motion; over the counter derivatives; Basel financial framework

PL

ryzyko kredytowe; ekspozycja kredytowa; ramy finansowe

• Wydawca: Oficyna Wydawnicza Uniwersytetu Zielonogórskiego
• Czasopismo: International Journal of Applied Mathematics and Computer Science
• Rocznik: 2017
• Tom: Vol. 27, no. 2
• Strony: 435--447
• Opis fizyczny: Bibliogr. 37 poz., tab., wykr.

Twórcy

autor

Bonollo M.

• IMT Lucca/Iason Ltd/Numerix LLC, Piazza S. Francesco 19, 55100 Lucca (LU), Via Torino 2, 20123 Milan, Italy

autor

Di Persio L.

• Department of Computer Science, University of Verona, Strada le Grazie 15, 37134 Verona (VR), Italy

autor

Mammi L.

• Unicredit Group, Tower A, Piazza Gae Aulenti, 3, 20154 Milan, Italy

autor

Oliva I.

• Department of Economics, University of Verona, Via Cantarane 24, 30129 Verona (VR), Italy

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Uwagi

PL

Opracowanie ze środków MNiSW w ramach umowy 812/P-DUN/2016 na działalność upowszechniającą naukę (zadania 2017).