Collateral Recognition and Counterparty Credit Risk
6 mins read In the previous post we reviewed the credit risk requirements under the internal ratings based (IRB) and advanced measurement approaches
PFE calculation for a simple IRS
5 mins read When it comes to counterparty credit risk there are two credit exposure calculation methods that we frequently see in term
Setting Risk Limits-Counterparty, Pre-settlement Risk (PSR) and Trading Limits.
3 mins read Setting risk limits Risk models only have value if they are used effectively in combination with a limit management and control