Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives

Shuang LI, Cheng PENG, Ying BAO, Yan-long ZHAO, Zhen CAO

应用数学学报(英文版) ›› 2022, Vol. 38 ›› Issue (2) : 254-270.

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应用数学学报(英文版) ›› 2022, Vol. 38 ›› Issue (2) : 254-270. DOI: 10.1007/s10255-022-1074-8
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Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives

    Shuang LI1,2, Cheng PENG1,2, Ying BAO3, Yan-long ZHAO1,2, Zhen CAO2
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Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives

    Shuang LI1,2, Cheng PENG1,2, Ying BAO3, Yan-long ZHAO1,2, Zhen CAO2
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{{article.zuoZheCn_L}}. {{article.title_cn}}. {{journal.qiKanMingCheng_CN}}, 2022, 38(2): 254-270 https://doi.org/10.1007/s10255-022-1074-8
{{article.zuoZheEn_L}}. {{article.title_en}}. {{journal.qiKanMingCheng_EN}}, 2022, 38(2): 254-270 https://doi.org/10.1007/s10255-022-1074-8
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