In recent years, the counterparty credit risk measure, namely the default
risk in \emph{Over The Counter} (OTC) derivatives contracts, has received great
attention by banking regulators, specifically within the frameworks of
\emph{Basel II} and \emph{Basel III.} More explicitly, to obtain the related
risk figures, one has first obliged to compute intermediate output functionals
related to the \emph{Mark-to-Market} (MtM) position at a given time t∈[0,T], T being a positive, and finite, time horizon. The latter implies an
enormous amount of computational effort is needed, with related highly time
consuming procedures to be carried out, turning out into significant costs. To
overcome latter issue, we propose a smart exploitation of the properties of the
(local) time spent by the Brownian motion close to a given value