RiskMetrics
counterparty credit risk analytics are evolving to help our clients become more compliant with their internal and regulatory requirements.
The (emr) suffix indicates that the rating only reflects the
counterparty credit risk of KEXIM, and excludes the embedded market risk that may vary the size of the coupon payments on the notes.
AM Best will continue to monitor how this situation unfolds, and notes that, to limit
counterparty credit risk exposure, strong counterparty due diligence on the part of cedents is critical, which is generally within the realm of strong enterprise risk management.
The bank said that the solution would be used for measuring
Counterparty Credit Risk (SA-CCR).
Under the latest stress testing, participating banks were required to cover risks such as credit risk, including sovereign and bank exposures; market risk in the trading book and available for sale debt securities and their designated hedges;
counterparty credit risk -- largest derivative counterparty default and debt security haircuts; net interest income from rising interest rate environment; and liquidity risk of the five largest banks through extended, more severe liquidity coverage ratio.
The DMO also assists the LGFA to mitigate
counterparty credit risk by acting as the GRE's derivatives counterparty.