Modelling, Pricing, and Hedging Counterparty Credit Exposure

It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm.

Era la sfarsitul anului 2005 cand angajatorul nostru, o importanta Banca Europeana de Investitii, a dat echipei noastre mandatul de a calcula cu exactitate expunerea la creditul contrapartidei care decurge din instrumentele derivate exotice tranzactionate de firma.