I would like to know how to measure Exposure on swaps (IRS, TRS...) in general . Example, if a party A has a OTC position of 100 million USD in IRS with party B, is party A exposure = 100 million USD ?

Where can I found good articles/documents explaining how to measure net exposure on derivatives and financial instruments ? Or does it depends of MTM of the contract ?

Thanks your help

  • 1
    $\begingroup$ Personally, I found two books quite helpful: Gregory‘s „The XVA challenge“ and Lichters/Stamm/Gallagher‘s „Modern derivatives pricing and credit exposure analysis“. $\endgroup$ Jul 3 '21 at 10:24

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