Counterparty Credit Exposure. An Intuitive Guide to Credit Exposure Measurement


Seminar Paper, 2015

24 Pages, Grade: 1,7


Excerpt


Table of Contents

List of Abbreviations

Table of Figures

1. Introduction

2. Assessment on counterparty credit exposure
2.1. Metrics and characteristics
2.1.1. Metrics of counterparty credit exposure
2.1.2. Driving factors
2.1.3. The impact of netting
2.1.4. The role of collateral
2.1.5. Measurement objectives and their implications for modeling
2.2. Quantification of credit risk exposure
2.2.1. Risk management counterparty exposure: Add-on method
2.2.2. Pricing counterparty exposure: CVA
2.2.3. Monte Carlo simulation

3. Summary

Appendix

References

Excerpt out of 24 pages

Details

Title
Counterparty Credit Exposure. An Intuitive Guide to Credit Exposure Measurement
College
University of Hohenheim  (Financial Management)
Course
Master seminary "Counterparty credit risk"
Grade
1,7
Author
Year
2015
Pages
24
Catalog Number
V301782
ISBN (eBook)
9783956874888
ISBN (Book)
9783668005341
File size
1025 KB
Language
English
Keywords
counterparty, credit, exposure, intuitive, guide, measurement
Quote paper
Frederik Wulf (Author), 2015, Counterparty Credit Exposure. An Intuitive Guide to Credit Exposure Measurement, Munich, GRIN Verlag, https://www.grin.com/document/301782

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