Backtesting of simulated method for Counterparty Credit Risk
After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure ban...
| Main Authors: | , |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Umeå universitet, Institutionen för matematik och matematisk statistik
2020
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-173284 |