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8 - Counterparty Credit Risk

Published online by Cambridge University Press:  02 March 2023

David Lynch
Affiliation:
Federal Reserve Board of Governors
Iftekhar Hasan
Affiliation:
Fordham University Graduate Schools of Business
Akhtar Siddique
Affiliation:
Office of the Comptroller of the Currency
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Summary

This chapter describes the current state of CCR management, modeling and validation as of the early 2020s. Beginning with the historical evolution of counter party credit risk measurement and management, it discusses backtesting and stress testing as applicable to counterparty credit risk.

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Publisher: Cambridge University Press
Print publication year: 2023

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References

Canabarro, E. (2014). Stress test of counterparty credit risk and dynamic hedging of the CVA, in Canabarro, E. and Pykhtin, M., Counterparty Risk Management, Incisive Media, 2014.Google Scholar
Canabarro, E., Picoult, E. and Wilde, T. (2003). Analyzing counterparty risk, Risk, September 2003, 117–122.Google Scholar
Canabarro, E. and Duffie, D. (2003). Measuring and marking counterparty risk, in Tilman, Leo, Asset/Liability Management in Financial Institutions, Euromoney Books, 2003.Google Scholar
Duffie, D. (2001). Expert Witness Report. Available at http://web.stanford.edu/~duffie/bankone.pdfGoogle Scholar

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