Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, 2nd Edition

Contents

Cover

Title Page

Copyright

Dedication

Acknowledgements

List of Spreadsheets

List of Appendices

Section I: Introduction

Chapter 1: Introduction

Chapter 2: Background

2.1 Introduction

2.2 Financial Risk

2.3 Value-at-Risk

2.4 The Derivatives Market

2.5 Counterparty Risk in Context

2.6 Summary

Chapter 3: Defining Counterparty Credit Risk

3.1 Introducing Counterparty Credit Risk

3.2 Components and Terminology

3.3 Control and Quantification

3.4 Summary

Section II: Mitigation of Counterparty Credit Risk

Chapter 4: Netting, Compression, Resets and Termination Features

4.1 Introduction

4.2 Netting

4.3 Termination Features and Trade Compression

4.4 Conclusion

Chapter 5: Collateral

5.1 Introduction

5.2 Collateral Terms

5.3 Defining the Amount of Collateral

5.4 The Risks of Collateralisation

5.5 Summary

Chapter 6: Default Remote Entities and the Too Big to Fail Problem

6.1 Introduction

6.2 Special Purpose Vehicles⁴

6.3 Derivative Product Companies

6.4 Monolines and Credit DPCs

6.5 Central Counterparties

Chapter 7: Central Counterparties

7.1 Centralised Clearing

7.2 Logistics of Central Clearing

7.3 Analysis of the Impact and Benefits of CCPs

7.4 Conclusions

Chapter 8: Credit Exposure

8.1 Credit Exposure

8.2 Metrics for Credit Exposure

8.3 Factors Driving Credit Exposure

8.4 Understanding the Impact of Netting on Exposure

8.5 Credit Exposure and Collateral

8.6 Risk-Neutral or Real-World? ...