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- EagerTigger
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bond options counterparty credit exposure
Hi everyone, can anyone recommend me any papers to read if I want to figure out how to find out how to compute the counterparty future credit exposure of bond options? what are the main risk drivers?Any advice or spreadsheet will be helpful.thanks a lot!
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- EagerTigger
- Posts: 1
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bond options counterparty credit exposure
yep, options on fixed rate bonds as well as credit default swaptions