Measuring and Managing the Credit Exposure of Derivatives Portfolios

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Measuring and Managing the Credit Exposure of Derivatives Portfolios

Mark Wahrenburg Universität zu Köln 1997

24页 英文

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2007-2-12 08:05:00 上传

Measuring and Managing the Credit Exposure of Derivatives Portfolios
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The overwhelming majority of banks currently use the so called „percentage of notional“
and „Current Exposure + Add On’’ formulas for the measurement of credit risk in their
derivatives portfolios. However, these approaches do not deliver exposure figures that
adequately describe the counterparty risk of a specific counterparty, because they rely on
a variety of simplifying assumptions that may lead to gross over- or underestimations of
the true counterparty risk. In particular, it is unable to take account for portfolio effects
since it is based on single transaction analysis.

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关键词：derivatives Derivative Portfolios Measuring Portfolio derivatives Credit Managing Measuring exposure