Which Measure for PFE? The Risk Appetite Measure A-Reference-Cited by-同舟云学术

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Which Measure for PFE? The Risk Appetite Measure A

Published:2015 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Kenyon Chris,Green Andrew David,Berrahoui Mourad

Publisher

Elsevier BV

Reference26 articles.

1. Back-testing expected shortfall;C Acerbi;Risk,2014

2. Credit exposure models backtesting for Basel III;F Anfuso;Risk,2014

3. International Convergence of Capital Measurement and Capital Standards. Basel Committee for Bank Supervision;BCBS-128,2006

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Judging the True Health of Finance Institutions Based on Risk Behavior and Operation Performance;Mathematical Problems in Engineering;2022-11-26

2. References;The xVA Challenge;2020-05-04

3. Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models;Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science;2017

4. Counterparty Trading Limits Revisited: CSAs, IM, SwapAgentt, from PFE to PFL;SSRN Electronic Journal;2017

5. Managing Counterparty Credit Risk Via BSDEs;SSRN Electronic Journal;2016

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