regulatory capital

Measurement and Management of Counterparty Risk

Tuesday, January 26, 2016

by Avadhut Naik, Quantifi and Michael Bryant, InteDelta

The measurement and management of counterparty risk is a rapidly evolving area. A range of new regulatory requirements is changing the way in which institutions view risk. This affects not only risk quantification but the whole commercial model of an institution. New regulations or risk measures can affect the commercial attractiveness of an institution’s existing product range or client profile. Against a backdrop of discipline in constant evolution, this whitepaper explores some of the key areas associated with the management and measurement of counterparty risk.