Package org.drip.xva.gross

Class MonoPathExposureAdjustment

java.lang.Object
org.drip.xva.gross.MonoPathExposureAdjustment
All Implemented Interfaces:
PathExposureAdjustment
public class MonoPathExposureAdjustment
extends java.lang.Object
implements PathExposureAdjustment
MonoPathExposureAdjustment aggregates the Exposures and the Adjustments across Multiple Netting/Funding Groups on a Single Path Projection Run along the Granularity of a Counter Party Group. The References are:

  • Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19
  • Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
  • Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  • Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102




Author:
Lakshmi Krishnamurthy