• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>The North American journal of economics and finance >Explicit expressions to counterparty credit exposures for Forward and European Option
【24h】

Explicit expressions to counterparty credit exposures for Forward and European Option

机译：明确表达对交易对手的信贷风险向前和欧洲期权

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

With the fast development of over the counter (OTC) derivatives market, counterparty credit risk (CCR) has become one of the main risks that can even affect the survival of banks. As a result, it is essential to measure and manage CCR exposures. Giant financial institutions apply numerical methods such as the Monte Carlo to calculate exposures. However, the numerical methods usually cost a significant amount of time, and some advanced algorithms like distributed and parallel processing are usually used to accelerate the calculation. Nevertheless, for small banks, they cannot afford the calculation cost. In order to make small banks manage CCR more efficiently, this paper puts forward analytic models to measure CCR exposures and derives the explicit expressions to exposures for Forward contract and European Option, which are represented in the OTC market. The explicit expressions to credit exposures for Forward contract are derived under the assumption that the underlying market risk factors follow Geometric Brown Motion. For European Option case, the problem turns to be difficult since the analytic formula involves double-definite integral of Gaussian function that cannot be simplified into elementary functions. An approximating normal distribution function with integrability is proposed, then the analytic approximations of European Call Option's credit exposures and maximum errors are presented.
机译：随着柜台上的快速发展（OTC）衍生品市场，对手对手信用风险（CCR）已成为甚至影响银行生存的主要风险之一。结果，对CCR曝光至关重要。巨型金融机构适用数值方法，如蒙特卡罗来计算曝光。然而，数值方法通常花费大量时间，并且通常用于加速计算的一些高级算法来加速计算。尽管如此，对于小银行而言，他们无法负担计算成本。为了使小银行更有效地管理CCR，提出了分析模型来测量CCR曝光，并衍生出于转发合同和欧洲选项的明确表达，这些表达在OTC市场中代表。在假设潜在的市场风险因素遵循几何棕色运动的假设下，将出于转发合同的明确表达。对于欧洲期权案例，问题转变为困难，因为分析公式涉及高斯函数的双定积分，不能简化为基本功能。提出了一种具有可积分的近似正态分布函数，然后提出了欧洲呼叫选项的信用风险和最大错误的分析近似。

著录项

  • 来源
    《The North American journal of economics and finance》 |2020年第4期|101130.1-101130.14|共14页
  • 作者

    Li Shuang; Peng Cheng; Bao Ying; Zhao Yanlong;

  • 作者单位

    Acad Math & Syst Sci Chinese Acad Sci KLSC Beijing 100190 Peoples R China|Univ Chinese Acad Sci Sch Math Sci Beijing 100049 Peoples R China;

    Acad Math & Syst Sci Chinese Acad Sci KLSC Beijing 100190 Peoples R China|Univ Chinese Acad Sci Sch Math Sci Beijing 100049 Peoples R China;

    Ind & Commercial Bank China Beijing 100032 Peoples R China;

    Acad Math & Syst Sci Chinese Acad Sci KLSC Beijing 100190 Peoples R China|Univ Chinese Acad Sci Sch Math Sci Beijing 100049 Peoples R China;

  • 收录信息
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Counterparty credit exposure; Explicit expressions; Forward; European Option;

    机译：对手信贷曝光;明确表达;前进;欧洲选项;

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号