IMM Approach for Managing Counterparty Credit Risk

Demin Zhuang ()
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Demin Zhuang: Citigroup

A chapter in Commercial Banking Risk Management, 2017, pp 55-74 from Palgrave Macmillan

Abstract: Abstract In this chapter, we describe the methodologies for measuring and mitigating counterparty risk that are commonly practiced in major commercial banks. These methodologies have been recognized as industry standard approaches for internal model methods (IMM).

Keywords: Interest Rate; Financial Institution; Market Factor; Credit Spread; Replacement Cost (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-59442-6_3

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DOI: 10.1057/978-1-137-59442-6_3

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