Counterparty credit risk: Difference between revisions
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{{a|crr|}}''(Also | {{a|crr|}}{{d|Counterparty credit risk|/ˈkaʊntəˈpɑːti/ /ˈkrɛdɪt/ /rɪsk/|n|}}''(Also [[CCR]])'' No, not Creedence Clearwater Revival. But, in the minds of a credit officer, something almost as hallowed: the risk that the counterparty to a [[transaction]] could default before finally settling all payments it owes under the transaction. | ||
An important component of Basel regulation since at least Basel II, by late stage Basel III and Basel IV, it had become “SA-CCR”, the standardised approach to calculating counterparty | |||
credit risk, replacing previously sanctioned methods. | |||
Interesting thing I didn’t know until today was that only ⅓ of all losses suffered in the global financial crisis came from actual counterparty defaults. Two-thirds came from [[credit value adjustments]] arising from the credit deterioration, but not outright failure, of derivative counterparties. | |||
{{sa}} | |||
*[[Credit value adjustment]]s | |||
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