Backtesting
Published in Palgrave Macmillan UK eBooks • Jan 1, 2012
Authors:,
Chris Kenyon
R. Stamm
Abstract
Capital charges for trading desks are calculated from counterparty exposure profiles per legally enforceable netting set. Exposure is what the bank can lose if its counterparty defaults. Here we are mostly dealing with uncollateralized trades, as they have much larger exposures than collateralized t...
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