User: Guest  Login
Document type:
Diplomarbeit 
Author(s):
Sossau, Florian 
Title:
Semi-Analytical Models for Counterparty Exposure 
Abstract:
Firms active in OTC derivative markets are exposed to counterparty credit risk, because a counterparty to a financial contract may default prior to the expiration date of the contract and therefore fail to perform its payment obligations. Counterparty exposure specifies the potential amount of money that could be lost in the event of a default. This thesis gives an introduction in measuring and modelling counterparty exposure for interest rate derivatives. The first objective is to provide an ov...    »
 
Advisor:
Dr. Ralf Werner (Deutsche Pfandbriefbank AG) 
Referee:
Prof. Dr. Rudi Zagst 
Year:
2009 
Language:
en 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
Format:
Text