4 Calculating Counterparty Credit Exposure When Credit Quality Is Correlated with Market Prices
Author: W. TREVOR UHL
Language:
English
Keywords:
SEM; market; bank; rating; market participant; market discipline; IMF surveillance; risk profile; government regulator; Financial sector stability; Credit; Credit risk; Financial Sector Assessment Program; Global; Europe; Southeast Asia; East Asia; Asia and Pacific; counterparty default; default probability; credit exposure; replacement value; forward contract; Market risk; Currencies

Abstract

Counterparty risk management involves tracking both the credit quality of the counterparty and the actual amount of exposure on the derivative contract. Unlike exposure on traditional credit products, such as loans and commitments, derivatives credit exposure is constantly changing with the mark-to-market value of the contract.

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Cover Financial Risks, Stability, and Globalization
Financial Risks, Stability, and Globalization
Author: Mr. Omotunde E. G. Johnson
ISBN:
9781589060128
Publication Date:
29 Apr 2002
Publisher:
International Monetary Fund
DOI:
https://doi.org/10.5089/9781589060128.072
Pages:
570