16. Counterparty Risk Management and Valuation

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Michael Pykhtin

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch16

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

How to Cite

Bielecki, T. R., Brigo, D. and Patras, F. (2011) Counterparty Risk Management and Valuation, in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531839.ch16

Publication History

  1. Published Online: 7 SEP 2012
  2. Published Print: 24 JAN 2011

ISBN Information

Print ISBN: 9781576603581

Online ISBN: 9781118531839

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Keywords:

  • counterparty risk management;
  • counterparty credit risk;
  • credit valuation adjustment;
  • credit exposure;
  • potential future exposure

Summary

This chapter contains sections titled:

  • Introduction

  • Managing and Mitigating Counterparty Credit Risk

  • Credit Exposure

  • Credit Exposure under Collateralization

  • Pricing Counterparty Risk

  • Portfolio Loss and Economic Capital

  • Notes