Risk Modeling and Capital: Counterparty Credit Risk (EPE)

Johannes Wernz

Chapter 5 in Bank Management and Control, 2014, pp 69-74 from Springer

Abstract: Abstract Each trade a bank performs is first subject to market risk and second to credit risk. From a regulatory point of view market risk is met by the capital charge for market risk (VaR, stressed VaR…). See Chap. 7 for more discussion.

Keywords: Counterparty Credit; Market Risk; Capital Charges; Credit Valuation Adjustment; Stress Risk Factors (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/978-3-642-40374-3_5

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