Charles A. Dice Center for Research in Financial Economics

Identifying and quantifying exposures

by René M. Stulz and Rohan G. Williamson

ABSTRACT
The paper first examines the various concepts of exposure and relates t hem to existing theories of risk management. It then proceeds to investigate which methods are best suited to measure exposure under various circumstances. The paper provides a detailed comparison of the pro forma, regression and simulation methods of computing exposures.

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