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Coherent Global Market Simulations and Securitization Measures for Counterparty Credit Risk

2010; RELX Group (Netherlands); Linguagem: Inglês

10.2139/ssrn.1844711

1556-5068

Claudio Albanese, Giacomo Pietronero,

Financial Risk and Volatility Modeling

Valuing, hedging and securitizing counterparty credit risk involves analyzing large portfolios of netting sets over time horizons spanning decades. Theory dictates that the simulation measure should be coherent, i.e. arbitrage free. It should also be used consistently both to simulate and to value all instruments.