Efficient computation of exposure profiles for counterparty credit risk

CSL de Graaf, Q Feng, D Kandhai, CW Oosterlee

Research output: Contribution to journal › Article › Scientific › peer-review

18 Citations (Scopus)

Original language	English
Pages (from-to)	1-23
Number of pages	23
Journal	International Journal of Theoretical and Applied Finance
Volume	17
Issue number	4
DOIs	https://doi.org/10.1142/S0219024914500241
Publication status	Published - 2014

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title = "Efficient computation of exposure profiles for counterparty credit risk",

author = "{de Graaf}, CSL and Q Feng and D Kandhai and CW Oosterlee",

year = "2014",

doi = "10.1142/S0219024914500241",

language = "English",

volume = "17",

pages = "1--23",

journal = "International Journal of Theoretical and Applied Finance",

issn = "0219-0249",

publisher = "World Scientific Publishing",

number = "4",

}

TY - JOUR

T1 - Efficient computation of exposure profiles for counterparty credit risk

AU - de Graaf, CSL

AU - Feng, Q

AU - Kandhai, D

AU - Oosterlee, CW

PY - 2014

Y1 - 2014

U2 - 10.1142/S0219024914500241

DO - 10.1142/S0219024914500241

M3 - Article

SN - 0219-0249

VL - 17

SP - 1

EP - 23

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

IS - 4

ER -