0
$\begingroup$

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

$\endgroup$
1
  • 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

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.