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Counterparty credit risk management in industrial corporates

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  • Langkamp, Christian
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    Abstract

    Ever since the financial crisis of the banking system of 2008 - 2010 the paradigm that deposits or other exposures towards major banks are safe has been fundamentally questioned. This put industrial corporates, who to support their business usually need to manage significant cash holdings or incur counterparty credit risk via derivatives, in the situation to develop or extend their resources for counterparty credit risk management. This paper provides a comprehensive overview over the practical issues into the subject benefitting largely from the findings of an interview series conducted with the respective heads of counterparty and customer credit risk management in the time period April - September 2011 of 25 large european enterprises with a large subset being members of the German DAX Index.

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    File URL: http://mpra.ub.uni-muenchen.de/34358/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 34358.

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    Date of creation: 27 Oct 2011
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    Handle: RePEc:pra:mprapa:34358

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    Keywords: Financial Risk Management; Credit Risk; Counterparty Credit Risk; CCR Management; Organisation; Financial Controlling; Financial Institutions; Banks;

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    1. Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2010. "Are all Credit Default Swap Databases Equal?," NBER Working Papers, National Bureau of Economic Research, Inc 16590, National Bureau of Economic Research, Inc.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, American Finance Association, vol. 29(2), pages 449-70, May.
    3. Reinhart, Carmen & Rogoff, Kenneth, 2009. "This Time It’s Different: Eight Centuries of Financial Folly-Preface," MPRA Paper, University Library of Munich, Germany 17451, University Library of Munich, Germany.
    4. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, Econometric Society, vol. 69(3), pages 633-64, May.
    5. René M. Stulz, 2008. "Risk Management Failures: What Are They and When Do They Happen?," Journal of Applied Corporate Finance, Morgan Stanley, Morgan Stanley, vol. 20(4), pages 39-48.
    6. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(1-2), pages 59-117, January.
    7. Reinhart, Carmen & Rogoff, Kenneth, 2009. "This Time It’s Different: Eight Centuries of Financial Folly-Chapter 1," MPRA Paper, University Library of Munich, Germany 17452, University Library of Munich, Germany.
    8. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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