Counterparty credit risk — news, views and open issues

Böcker, Klaus; Stamm, Roland

Opinion/Comment

Counterparty credit risk — news, views and open issues

Klaus Böcker and Roland Stamm

Journal of Risk Management in Financial Institutions, 5 (3), 227-233 (2012)

https://doi.org/10.69554/QNRX1202

Abstract

Counterparty credit risk (CCR) is a central topic for any modern financial institution's risk management. In this paper we present a personal selection of issues related to CCR measurement which we consider still unresolved or at least controversial. These issues include credit value adjustment, exposure simulation, valuation in general and model risk.

Keywords: credit risk; model risk; OIS discounting; uncertainty; collateral management; funding curve

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Citation

Böcker, Klaus and Stamm, Roland (2012, June 1). Counterparty credit risk — news, views and open issues. In the Journal of Risk Management in Financial Institutions, Volume 5, Issue 3. https://doi.org/10.69554/QNRX1202.