Counterparty Risk, Data Points, and CDSs

Dimitris N. Chorafas

Chapter 9 in The Changing Role of Central Banks, 2013, pp 209-239 from Palgrave Macmillan

Abstract: Abstract A credit risk causes the holder of the claim to suffer a loss. In a portfolio, credit exposure is part of inventory risk and is practically embedded in all of the financial instruments that it contains. Swollen by purchases of sovereign bonds and long-term loans to struggling banks central bank balance sheets have accumulated a great deal of credit risk. In addition, new instruments like credit derivatives (section 6) are characterized by credit volatility. To a large measure, this is conditioned by the probability of default and it is influenced by the credit policies of debtors, including their willingness and ability to deliver according to their obligations.

Keywords: Monetary Policy; Central Bank; Credit Risk; Credit Rating; Public Debt (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-33228-8_10

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DOI: 10.1057/9781137332288_10

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