Counterparty credit risk — news, views and open issues

Klaus Böcker and Roland Stamm
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Klaus Böcker: Guest-Editor, PricewaterhouseCoopers, Financial Services Consulting

Journal of Risk Management in Financial Institutions, 2012, vol. 5, issue 3, 227-233

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 (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:aza:rmfi00:y:2012:v:5:i:3:p:227-233

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