Counterparty credit risk


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Counterparty credit risk

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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.
With this new service, participants will be able to reduce the number of trades effectively, limit their gross notional exposures and therefore reduce counterparty credit risk and leverage ratios, while ensuring compliance with EMIR, Basel III and Dodd-Frank.
It helps banks to reduce the amount of capital they require to run their SBL businesses, enables them to improve operational efficiency, and reduces counterparty credit risk , said Thomas Book, CEO of Eurex Clearing.
The package released today includes APRA s response to submissions received on its proposed requirements for counterparty credit risk capital and other measures, which were released in draft form in August this year.
For some dealing houses it could even treble the current counterparty credit risk charge, said Frank.
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 will now utilize Wolters Kluwers OneSumX software for Measuring Counterparty Credit Risk (SA-CCR).
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.