交易对手信用风险调查(2009,含两种衡量方法介绍)

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1Do you actively hedge counterparty risk ?
2What other measures do you have in place to manage counterparty risk ?
3What measures do you have in place to monitor counterparty risk (e.g. internal ratings)?
4How common are break clauses in the derivatives contracts you trade?
5Are you in favour of segregated margin acc ounts?
6What is the impact of central  counterparties on your busi ness ?
7Are you set up to use central counterparties for interest rate sw aps or CDS?
8How many banks do you regularly deal wi th? How many did you deal wi th pre-Lehman?
9What factors would influence your decisi on not to trade wi th the best pric ed dealer?
10Whic h dealers include their own credit risk as a disc ount in prici ng trades?
11How have your counterparty risk practic es changed over the past year?

Monitoring counterparty risk post-Lehman

A two-speed approach to counterparty risk

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关键词：方法介绍 信用风险 counterparty credit risk derivatives 风险 信用 交易 调查 对手

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On the sell-side, the bulge-bracket banks are able to divert sufficient resources to
in-depth monitoring of counterparty risk, whereas there are suspicions the smaller
banks are not matching this level of commitment. By Sarfraz Thind

Using derivatives for hedging
Perhaps the biggest revelation of the current approach towards
counterparty risk management is the paucity of sell-side firms that
actively hedge counterparty risk through derivatives. For most
banks, using derivatives to lay off market risk is a part of their daily
risk management activity, but it seems that it is only the top-tier
institutions that actively use derivatives to hedge counterparty risk.
One market participant says: “Only the top-tier banks currently
dynamically hedge their counterparty risk. Smaller banks from Australia
and Canada, for example, have been looking at our model
but not many others do this as yet.”

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