Counterparty Credit Risk Simulation Analytics

Counterparty credit risk (CCR) is the risk of loss that will be incurred in the event of default by a counterparty. Counterparty credit risk is measured by credit exposure. Monte Carlo simulation is used to predict credit exposure distributions at predefined future dates (credit node). Exposure is determined by sampling results from the exposure distributions based upon the required confidence interval.https://ia801006.us.archive.org/24/items/ccrSimulation/ccrSimulation-2.pd