Lecture_7_CVA_201820180402201111

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IntroductionCounterparty RiskOTC Market – Interest Rate Derivatives ChartPaola Mosconi 20541 – Lecture 10-11 12 / 86
IntroductionCounterparty RiskCounterparty Risk: Risk Management vs PricingTwo approaches to counterparty risk:counterparty risk management:for internal purposes and for regulatory capital requirements, following BaselIIcounterparty risk from a pricing point of view:Credit Valuation Adjustment (CVA), when updating the price of instrumentsto account for possible default of the counterpartyHowever, starting from Basel III the distinction has become less clear-cut.Paola Mosconi 20541 – Lecture 10-11 13 / 86
Page 1 and 2: Introduction to Counterparty RiskPa
Page 3 and 4: Outline1 IntroductionCounterparty R
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Page 17 and 18: IntroductionExposuresExposures IIPo
Page 19 and 20: CVAGeneral FrameworkCredit Value Ad
Page 21 and 22: CVAGeneral FrameworkCVA Definition
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Page 43 and 44: CVA CalculationMonte Carlo Valuatio
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Case StudiesCase Study 2: Portfolio
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Mitigating Counterparty ExposureMit
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Mitigating Counterparty ExposureNet
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Mitigating Counterparty ExposureNet
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Selected ReferencesOutline1 Introdu
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