• Counterparty Credit Risk Simulation Methodology

    Author(s):
    Tim Xiao (see profile)
    Date:
    2020
    Group(s):
    Business Management
    Subject(s):
    Economics
    Item Type:
    Presentation
    Permanent URL:
    http://dx.doi.org/10.17613/nm49-b185
    Abstract:
    Counterparty credit risk (CCR) is the risk of loss that will be incurred in the event of default by a counterparty. It will be incurred in the event of default by a counterparty. Only over-the-counter (OTC) derivatives and financial security transactions (e.g., repo) are subject to counterparty risk. If one party of a contract defaults, the non-defaulting party will find a similar contract with another counterparty in the market to replace the default one. That is why counterparty credit risk sometimes is referred as replacement risk. The replacement risk is the MTM value of a counterparty portfolio at the time of the counterparty default.
    Metadata:
    xml
    Status:
    Published
    Last Updated:
    2 years ago
    License:
    All-Rights-Granted

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