Calculation of Credit Valuation Adjustment Based on Least Square Monte Carlo Methods
Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced mathematically. We examine this issue using interest rate swaps. This largely traded finan...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2015-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2015/959312 |