Counterparty credit risk in derivatives
Counterparty credit risk in derivatives
Author(s): Aleksander MercikSubject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: Credit risk; credit exposure; counterparty credit risk; collateral management; credit value adjustment; netting and margin agreement
Summary/Abstract: There is currently a strong market focus on counterparty credit risk. CCR is the risk that a party, usually to an OTC derivative contract, may fail to fulfill its obligations, causing re-placement losses to the other party. This is similar to the standard definition of credit risk in the sense that the economic loss is due to the default of the obligor. However the amount of exposure is uncertain due to the random nature of the contract’s pay-offs. The main purpose of this paper is to present the most popular methods for estimating adjust-ments for credit risk (CVA and DVA) for derivatives.
Journal: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
- Issue Year: 2015
- Issue No: 381
- Page Range: 264-274
- Page Count: 11
