PDFAbstract: In this paper we aim at exploiting the properties of the Brownian Local Time to estimate the Counterparty Credit Risk for a specific class of financial derivatives, i.e. the so called Accumulator derivatives, within a Black and Scholes-type market. The comparison with the results obtained by made use of a standard Monte Carlo approach, clearly shows the superiority of our proposal, which runs in smaller execution times and with better estimation accuracy.
Keywords: Counterparty Credit Risk, Brownian Local Time, Accumulator Derivatives REFERENCES [1] Basel Committee on Banking Supervision (2006) Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework - Comprehensive Version, BCBS Paper 128. [2] Basel Committee on Banking Supervision (2011) Basel III: A global regulatory framework for more resilient banks and banking systems - revised version, BCBS Paper 189. [3] Bonollo, M. , Di Persio, L. and Pellegrini, G. (2015) Polynomial Chaos Expansion Approach to Interest Rate Models., Journal of Probability and Statistics, Vol. 2015, http://dx.
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Michele Bonollo, Luca Di Persio, Luca Mammi, Immacolata Oliva. (2016) Counterparty Credit Risk Evaluation for Accumulator Derivatives: the Brownian Local Time Approach. Economics and Management Systems, 1 , 188-191
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