The New Standardized Approach for Measuring Counterparty Credit Risk
This study investigates the differences in calculationof exposure at default between the current exposure method (CEM) and the newstandardized approach for measuring counterparty credit risk exposures (SA-CCR)for over the counter (OTC) derivatives. The study intends to analyze theconsequence of the...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematisk statistik
2014
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-145757 |