Paper
This Section documents the classical MPR model presented in Pykhtin, M. (2009), “Modeling Credit Exposure for Collateralized Counterparties”, Journal of Credit Risk, 5 (4) (Winter), pages 3-27. and in Pykhtin, M. (2010), “Collateralized Credit Exposure,” in Counterparty Credit Risk, E. Canabarro, ed., Risk Books.
