An integrated benchmark model for Counterparty Credit Risk

The EAD metric is widely used in the calculations for the capital requirements concerning Counterparty Credit Risk (CCR). In this thesis we compare several methods for calculating this EAD. Basel III gives us two methods, the Standardized Approach for CCR (SA-CCR) and the Internal Model Method (IMM). Furthermore, we introduce an integrated...

Replacing the Monte Carlo Simulation with the COS Method for PFE (Potential Future Exposure) Calculations

To fulfil the need in the industry for fast and accurate PFE calculations in practice, a new, semi-analytical method of calculating the PFE metric for CCR has been developed, tested and analyzed in this thesis. Herewith we focus on the calculation of PFEs for liquid IR and FX portfolios involving up to three correlated risk-factors: a domestic...