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Introduction to Counterparty Credit Risk

Yi Tang, Bin Li

Abstract

The following sections are included:Credit Charge, Credit Benefit, and Credit PremiumCredit Cost, Accrued Funding Cost, and Accrued Funding BenefitTrading Strategies and OpportunitiesComparison with Bond Credit RiskPrevailing Strategies for Counterparty Credit Risk ManagementWrong-way and Right-way Exposures or TradesIntroduction to Modeling and Pricing of Counterparty Credit Risk

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Available abstract

Key concepts: Credit valuation adjustment, Credit risk, Credit enhancement, Business, Counterparty, Credit history, Credit reference, Financial system