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Quantitative Finance · Glossaire

Qu'est-ce que « Counterparty exposure » ?

Definition 17.2 Rates, Credit, XVA and Risk · Chapitre 17 — Counterparty Exposure

The counterparty exposure at a future date tt is the loss if the counterparty defaults then and nothing is recovered: Et=max⁡(Vt−Ct,0)E_t = \max(V_t-C_t,0), with VtV_t the value of the contracts to the bank and CtC_t the collateral it can keep.

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