Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives

• 作者: Shuang LI Cheng PENG Ying BAO Yan-long ZHAO Zhen CAO
• 来源期刊: 应用数学学报（英文版）
• 年，卷（期）: 2022,（2）
• 页码范围: 254-270
• 页数: 17页
• 语种: 英文

摘要

This paper proposes an approximate analytical solution method to calculate counterparty credit risk exposures.Compared with the Standard Approach for measuring Counterparty Credit Risk and the Internal Modeling Method provided by Basel Committee,the proposed method significantly improves the calculation ef-ficiency based on sacrificing a little accuracy.Taking Forward Rate Agreement as an example,this article derives the exact expression for Expected Exposure.By approximating the distribution of Forward Rate Agreement's future value to a normal distribution,the approximate analytical expression for Potential Future Exposure is derived.Numerical results show that this method is reliable and is robust under different parameters.