A Parametric Approach to Counterparty and Credit Risk

IF 0.3 4区经济学 Q4 Economics, Econometrics and Finance

Journal of Credit Risk Pub Date : 2013-04-01 DOI:10.2139/ssrn.2344682

G. Orlando, Maximilian Härtel

引用次数: 4

Abstract

In this paper, we present the results of a business solution on how to measure credit and counterparty risk with the main focus on OTC derivatives. Moreover, we use this approach to include the measurement of liquidity risk exposure. We explain how we measure the exposure for each counterparty with netting arrangements and collaterals. Further we introduce the concept of PFE (potential future exposure) and explain why we opted for a parametric approach. We then develop the concepts of credit loss and default probability as a result of a Poisson process. Further we use the concept of unexpected loss in order to derive the economic capital as the difference between the unexpected loss and the credit loss. Finally we show how this approach can be applied as a refinement of liquidity risk measurement by considering collateral requirements, so as to enhance the monitoring of liquidity congruence between funds' asset and liability, especially under stressed market conditions.

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交易对手与信用风险的参数化分析

在本文中，我们提出了一个商业解决方案的结果，如何衡量信用和交易对手风险，主要集中在场外衍生品。此外，我们使用这种方法包括流动性风险暴露的测量。我们解释了我们如何用净额安排和抵押品来衡量每个交易对手的风险敞口。此外，我们介绍了PFE(潜在的未来暴露)的概念，并解释了为什么我们选择了参数化方法。然后，我们发展了信用损失和违约概率的概念，作为泊松过程的结果。在此基础上，引入意外损失的概念，推导出意外损失与信用损失之差的经济资本。最后，我们展示了如何将这种方法应用于考虑抵押品要求的流动性风险度量的细化，从而加强对基金资产和负债之间流动性一致性的监测，特别是在压力市场条件下。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Credit Risk BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater. The Journal of Credit Risk focuses on the measurement and management of credit risk, the valuation and hedging of credit products, and aims to promote a greater understanding in the area of credit risk theory and practice. The Journal of Credit Risk considers submissions in the form of research papers and technical papers, on topics including, but not limited to: Modelling and management of portfolio credit risk Recent advances in parameterizing credit risk models: default probability estimation, copulas and credit risk correlation, recoveries and loss given default, collateral valuation, loss distributions and extreme events Pricing and hedging of credit derivatives Structured credit products and securitizations e.g. collateralized debt obligations, synthetic securitizations, credit baskets, etc. Measuring managing and hedging counterparty credit risk Credit risk transfer techniques Liquidity risk and extreme credit events Regulatory issues, such as Basel II, internal ratings systems, credit-scoring techniques and credit risk capital adequacy.