83,240
edits
Counterparty credit risk: Difference between revisions
Jump to navigation
Jump to search
no edit summary
Amwelladmin (talk | contribs) (Created page with "''Also known as {{tag|CCR}})'' No, not Creedence Clearwater Revival. But, in the minds of a credit officer, something almost as hallowed, on which much of the ''Treatment of...") |
Amwelladmin (talk | contribs) No edit summary |
||
| Line 1: | Line 1: | ||
''Also known as {{tag|CCR}})'' | ''Also known as {{tag|CCR}})'' | ||
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. | 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. | ||
{{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 | |||
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.}} | |||
{{bipruanatomy}} | {{bipruanatomy}} | ||