Counterparty Credit Risk. The New Challenge For Global Financial Markets

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The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management


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A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance companies

Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment CVA

Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac

Counterparty risk is now a key problem for all financial institutions

Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered

Hedging aspects, together with the associated instruments such as credit defaults swaps CDSs and contingent CDS CCDS are described in full

It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk.

Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements

The implications of an institution valuing their own default via debt value adjustment DVA are also considered at length

The management of counterparty risk within an institution is also discussed in detail

The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management margining

The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets

This book explains the emergence of counterparty risk during the recent credit crisis

This book is unique in being practically focused but also covering the more technical aspects

Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and, in particular, credit derivative products

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