Counterparty credit risk management in industrial corporates
AbstractEver 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 34358.
Date of creation: 27 Oct 2011
Date of revision:
Financial Risk Management; Credit Risk; Counterparty Credit Risk; CCR Management; Organisation; Financial Controlling; Financial Institutions; Banks;
Find related papers by JEL classification:
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G01 - Financial Economics - - General - - - Financial Crises
- L60 - Industrial Organization - - Industry Studies: Manufacturing - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-07 (All new papers)
- NEP-BAN-2011-11-07 (Banking)
- NEP-RMG-2011-11-07 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-64, May.
- Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2010.
"Are all Credit Default Swap Databases Equal?,"
NBER Working Papers
16590, National Bureau of Economic Research, Inc.
- Merton, Robert C., 1973.
"On the pricing of corporate debt: the risk structure of interest rates,"
684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
- René M. Stulz, 2008.
"Risk Management Failures: What Are They and When Do They Happen?,"
Journal of Applied Corporate Finance,
Morgan Stanley, vol. 20(4), pages 39-48.
- Stulz, Rene M., 2008. "Risk Management Failures: What Are They and When Do They Happen?," Working Paper Series 2008-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Reinhart, Carmen & Rogoff, Kenneth, 2009. "This Time It’s Different: Eight Centuries of Financial Folly-Preface," MPRA Paper 17451, University Library of Munich, Germany.
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
- Reinhart, Carmen & Rogoff, Kenneth, 2009. "This Time It’s Different: Eight Centuries of Financial Folly-Chapter 1," MPRA Paper 17452, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.