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Risk Modeling and Capital: Counterparty Credit Risk (EPE)

In: Bank Management and Control

Author

Listed:
  • Johannes Wernz

Abstract

Each trade a bank performs is first subject to market risk and second to credit risk. From a regulatory point of view market risk is met by the capital charge for market risk (VaR, stressed VaR…). See Chap. 7 for more discussion.

Suggested Citation

  • Johannes Wernz, 2014. "Risk Modeling and Capital: Counterparty Credit Risk (EPE)," Management for Professionals, in: Bank Management and Control, edition 127, chapter 5, pages 69-74, Springer.
    • Handle: RePEc:spr:mgmchp:978-3-642-40374-3_5
    DOI: 10.1007/978-3-642-40374-3_5
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