Counterparty credit risk
Standardised risk charge delivers few benefits, and plenty of trouble
Tight deadline and limited portfolio makes measurement difficult
More Counterparty credit risk articles
Growing LEI issuance has improved reporting, but what comes next?
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
COO in interview cites equity-like evolution and regulation squeezing liquidity
Counterparty correlations are no substitute for due diligence, argues Kaminski
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility ...
Counterparty credit risk (CCR), a key driver of the 2007-8 credit crisis, has become one of the main focuses of major global and US regulatory standards. Financial institutions invest large amounts of...
But concerns remain about effects on resolution and capital requirements
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Financial models fall down in energy markets, argues Kaminski
Backtesting counterparty credit risk (CCR) models is anything but simple. Such backtesting is becoming increasingly important in the financial industry since both the CCR capital charge and credit valuation...
Severe financial turbulence is driven by high impact and low probability events that are the hallmarks of systemic financial stress. These unlikely adverse events arise from the extreme tail of a probability...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.