Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time
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Cited by:
- Bonollo Michele & Persio Luca Di & Prezioso Luca, 2018. "The Default Risk Charge approach to regulatory risk measurement processes," Dependence Modeling, De Gruyter, vol. 6(1), pages 309-330, December.
- Andrey Koltays & Anton Konev & Alexander Shelupanov, 2021. "Mathematical Model for Choosing Counterparty When Assessing Information Security Risks," Risks, MDPI, vol. 9(7), pages 1-13, July.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2017-04-23 (Risk Management)
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