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        • Andersen Pykhtin Sokol
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        2. Margin Period of Risk

        Classical

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        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.

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