Toward a Better Estimation of Wrong‐Way Credit Exposure

Emerald - Tập 1 Số 3 - Trang 43-51 - 2000
CHRISTOPHER C. FINGER1
1Partner at the RiskMetrics Group in New York.

Tóm tắt

In counterparty credit risk management for swaps, forwards, and other derivative contracts, it is recognized that most common applications of credit exposure measurement suffer from the bias that counterparty default is independent of the amount of exposure. Stress tests are often proposed to compensate for this bias, but these measures tend to be arbitrary and cannot be uniformly applied to setting prices and limits as readily as more standardized approaches. The author proposes a framework in which standard measures of counterparty exposure are conditioned on default probabilities. These conditional measures thus account for “rong way” exposures, but fit naturally into current applications.

Tài liệu tham khảo

1999, Improving Counterparty Risk Management Practices Duffee Gregory R, 1996, Journal of Banking & Finance, 20 1996, RiskMetrics Technical Document, 4 Jamshidian Farshid, 1997, Finance and Stochastics, 1 Morgan, 1999, Risk Keenan Sean C, 1999, Moody's Investors Service Merton Robert, 1990, Continuous Time Finance 1997, RiskMetrics Monitor, First quarter
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Emerald

Tập 1 Số 3

43-51

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