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ExposureAnalyticsLibrary.md

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Exposure Analytics Library

Exposure Analytics Library computes the Scenario Exposures at the specified Trade Group Granularity.

Documentation

Document Link
Technical Specification Latest Previous
User Guide
API Javadoc

Component Projects

  • Exposure => Exposure Group Level Collateralized/Uncollateralized Exposure.

Coverage

  • Modeling Counterparty Credit Exposure in the Presence of Margin Agreements
    • Abstract
    • Margin Agreements as a Means of Reducing Counterparty Credit Exposure
    • Collateralized Exposure and Margin Period of Risk
    • Semi-Analytical Method for Collateralized EE
    • Analysis of Basel “Shortcut” Method for Collateralized Effective EPE
    • Conclusion
    • References
  • Estimation of Margin Period of Risk
    • Abstract
    • Introduction
    • The Fundamentals of Variation Margin: Basic Definitions
    • Margin Calls and Cash Flows
    • Revised Exposure Definition
    • Classical Model for Collateralized Exposure – Assumptions about Margin Flows
    • Assumptions about Trade Flows
    • Full Timeline of IMA/CSA Events
    • Events Prior to Default
    • Some Behavioral and Legal Aspects
    • Simplified Timeline of IMA/CSA Events
    • Identification of Key Time Periods
    • Establishing the Sequence of Events
    • Evaluation of the Client Survival Probability
    • Timeline Calibration
    • Aggressive Calibration
    • Conservative Calibration
    • Summary and Comparison of Timelines
    • Unpaid Margin Flows and Margin Flow Gap
    • Unpaid Trade Flows and Trade Flow Gap
    • Numerical Examples
    • Portfolio Results
    • CVA Results
    • Improvement of the Computation Times
    • The Coarse Grid Lookback Method and its Shortcomings
    • Brownian Bridge Method
    • Initial Margin
    • Conclusion
    • References

DROP Specifications