Search Results for author: Gijs Mast

Found 1 papers, 0 papers with code

Fast calculation of Counterparty Credit exposures and associated sensitivities using fourier series expansion

no code implementations21 Nov 2023 Gijs Mast, Xiaoyu Shen, Fang Fang

This paper introduces a novel approach for computing netting--set level and counterparty level exposures, such as Potential Future Exposure (PFE) and Expected Exposure (EE), along with associated sensitivities.

Cannot find the paper you are looking for? You can Submit a new open access paper.