By Jon Gregory(auth.)
A functional consultant to counterparty possibility administration and credits worth adjustment from a number one credits practitioner
Since the cave in of Lehman Brothers and the consequent awareness of intensive counterparty possibility around the international monetary markets, the topic of counterparty danger has turn into an unavoidable factor for each bank. This e-book explains the emergence of counterparty threat and the way monetary associations are constructing features for valuing it. It additionally covers portfolio administration and hedging of credits price adjustment, debit worth adjustment, and wrong-way counterparty hazards. moreover, the booklet addresses the layout and advantages of important clearing, a up to date improvement in makes an attempt to regulate the swift progress of counterparty probability. This uniquely useful source serves as a useful consultant for industry practitioners, coverage makers, lecturers, and students.Content:
Chapter 1 advent (pages 3–8):
Chapter 2 history (pages 9–20):
Chapter three Defining Counterparty credits threat (pages 21–40):
Chapter four Netting, Compression, Resets and Termination positive factors (pages 45–57):
Chapter five Collateral (pages 59–77):
Chapter 6 Default distant Entities and the Too monstrous to Fail challenge (pages 79–96):
Chapter 7 imperative Counterparties (pages 97–119):
Chapter eight credits publicity (pages 121–153):
Chapter nine Quantifying credits publicity (pages 157–195):
Chapter 10 Default chance, credits Spreads and credits Derivatives (pages 197–224):
Chapter eleven Portfolio Counterparty credits hazard (pages 225–240):
Chapter 12 credits worth Adjustment (pages 241–263):
Chapter thirteen Debt worth Adjustment (pages 265–281):
Chapter 14 investment and Valuation (pages 283–306):
Chapter 15 Wrong?Way chance (pages 307–338):
Chapter sixteen Hedging Counterparty probability (pages 341–369):
Chapter 17 legislation and Capital necessities (pages 371–402):
Chapter 18 dealing with CVA – The “CVA table” (pages 403–425):
Chapter 19 the way forward for Counterparty hazard (pages 427–433):
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Extra info for Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, Second Edition
A counterparty with a large default probability and a small exposure may be considered preferable to one with a larger exposure and smaller underlying default probability – but this is not clear. CVA puts a precise value on counterparty risk and can distinguish numerically between the aforementioned cases. CVA values the counterparty risk that an institution takes and potentially allows it to be traded (hedged). Many banks essentially accounted for CVA many years prior to the global ﬁnancial crisis in line with the common practice in taking “reserves” against potential future losses.
However, some small players, such as sovereigns and insurance companies, have had very strong (Triple-A) credit quality and have used this to obtain favourable terms such as one-way collateral agreements. Historically, a large amount of counterparty risk has been ignored simply because large derivatives players (the credit spreads of large, highly rated, ﬁnancial institutions prior to 2007 amounted to just a few basis points per annum8) or Triple-A entities were assumed default free. However, the above has since 2007 been very clearly seen as a myth and hence the bilateral nature of counterparty risk is ever-present.
Whereas in the past, only a few large dealers invested heavily in assessed counterparty risk, it has rapidly become the problem of all ﬁnancial institutions, big or small. 2 Counterparty risk and CVA Counterparty risk represents a combination of market risk, which deﬁnes the exposure, and credit risk, which deﬁnes the counterparty credit quality. A counterparty with a large default probability and a small exposure may be considered preferable to one with a larger exposure and smaller underlying default probability – but this is not clear.