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Counterparty credit risk — news, views and open issues

Author

Listed:
  • Böcker, Klaus

    (Guest-Editor, PricewaterhouseCoopers, Financial Services Consulting)

  • Stamm, Roland

Abstract

Counterparty credit risk (CCR) is a central topic for any modern financial institution's risk management. In this paper we present a personal selection of issues related to CCR measurement which we consider still unresolved or at least controversial. These issues include credit value adjustment, exposure simulation, valuation in general and model risk.

Suggested Citation

  • Böcker, Klaus & Stamm, Roland, 2012. "Counterparty credit risk — news, views and open issues," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 5(3), pages 227-233, June.
    • Handle: RePEc:aza:rmfi00:y:2012:v:5:i:3:p:227-233
    as

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    More about this item

    Keywords

    credit risk; model risk; OIS discounting; uncertainty; collateral management; funding curve;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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