Counterparty credit risk: Difference between revisions

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-''Also known as {{tag|CCR}})''
+{{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.
-No, not Creedence Clearwater Revival. But, in the minds of a credit officer, something almost as hallowed, on which much of the ''Treatment of Counterparty Credit Risk and Cross-Product Netting'' under {{tag|Basel II}} is predicated. A good place to start is Annex 4.
+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.
-{{Box|[[Counterparty Credit Risk]] ({{tag|CCR}}) is the risk that the counterparty to a [[transaction]] could default before the final settlement of the transaction's cash flows. An economic loss would occur if the transactions or portfolio of transactions with the counterparty has a positive economic value at the time of default. Unlike a firm’s
+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 adjustment]]s arising from the credit deterioration, but not outright failure, of derivative counterparties.
-exposure to credit risk through a loan, where the exposure to credit risk is unilateral and only the lending bank faces the risk of loss, CCR creates a bilateral risk of loss: the market value of the transaction can be positive or negative to either counterparty to the transaction. The market value is uncertain and can vary over time with the
-movement of underlying market factors.}}
+{{sa}}
-{{bipruanatomy}}
+*[[Credit value adjustment]]s