Counterparty credit risk: the new challenge for global financial markets

Counterparty risk is traditionally thought of as credit risk between derivatives counterparties. Since the credit crisis of 2007 onwards and the failures of large prestigious institutions such as Bear Sterns, Lehman Brothers, Fannie Mae and Freddie Mac, counterparty risk has been considered by most to be the key financial risk. Historically, many financial institutions limited their counterparty risk by only trading with the most sound counterparties. Market participants tended to underestimate its magnitude as a result of the implicit ‘too big to fail’ assumption and only a few large dealers invested heavily in assessed counterparty risk. This is set to change. There are many solutions to the current counterparty risk problems, all of which mitigate the risk, however best mechanism for control is a full understanding of all aspects of counterparty credit risk, including the many possible risk mitigants. Only as more market participants become knowledgeable will the control of this new dimension offinancial risk management will become practical. This book will be a completeguide to the area of counterparty credit risk. It will present a thorough description of this subject for readers familiar with basic financial markets. The implications and issues arising from the credit crisis will be a particular focus and specific relevant events (Lehman Brothers, Bear Stearns) will be discussed. The book will cover all important areas peripheral to counterparty credit risk such as collateral management, liquidity and credit derivatives. Mathematical aspects (pricing) will be covered but the aim is to keep these concepts as simple as possible and separate any complex formulas from the main text in appendices.

• ISBN: 978-0-470-68576-1
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 448
• Fecha Publicación: 11/12/2009
• Nº Volúmenes: 1
• Idioma: Inglés