Exposure modelling under change of measure
The credit risk of a portfolio is often managed via measures of counter-party exposure, such as potential future exposure (PFE) and expected exposure (EE), with these measures playing an important role in setting economic and regulatory capital levels. For the sake of risk measurement and risk manag...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2017
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| Online Access: | http://hdl.handle.net/11427/25413 |