Credit Exposure Simulation is a computational methodology within counterparty credit risk analysis that quantifies potential future exposure by simulating the stochastic evolution of market variables and corresponding portfolio values over time under various scenarios.
21
Publications
459
Citations
30
Authors
19
Institutions
Publications per year
2017–2026
3
Parents
Publications
21
A Guide to Modeling Counterparty Credit Risk
Steven H. Zhu, Michael Pykhtin · 2008 · 109 citations
Business, Finance, Risk Management +17
An Integrated Market and Credit Risk Portfolio Model
Ian Iscoe, Alex Kreinin, Dan Rosén · 1999 · 45 citations
Business, Finance, Risk Management +17
1–5 of 21
Authors
30
- MP
7
h-index
- AS
3
h-index
- LB
3
h-index
- CA
2
h-index
- PG
2
h-index
1–5 of 30
Institutions
19
Federal Reserve Board of Governors
Washington D.C., United States
6 h-index
6 publications
197 citations
Federal Reserve
Washington D.C., United States
6 h-index
6 publications
197 citations
Bank of America
Charlotte, United States
3 h-index
3 publications
147 citations
Overlook Medical Center
Summit, United States
2 h-index
2 publications
38 citations
Delft University of Technology
Delft, The Netherlands
2 h-index
4 publications
49 citations
Lund University
Lund, Sweden
1 h-index
1 publications
16 citations
Centrum Wiskunde & Informatica
Amsterdam, The Netherlands
1 h-index
1 publications
16 citations
Utrecht University
Utrecht, The Netherlands
1 h-index
1 publications
10 citations
1–8 of 19
Venues
- SSRN Electronic Journal
Repository · 8 publications · 135 citations
8
h-index
- The Journal of Credit Risk
4 publications · 84 citations
4
h-index
- Quantitative Finance
1 publications · 42 citations
1
h-index
- The Journal of Computational Finance
1 publications · 10 citations
1
h-index
- Applied Mathematical Finance
1 publications · 16 citations
1
h-index
1–5