Counterparty Credit Risk: Measurement
Interactive

Counterparty Credit Risk: Measurement

Intuition Publishing Pty Ltd
Updated Aug 26, 2020

Accounting and capital adequacy requirements mean that banks must measure their counterparty credit risk (CCR). The key to measuring CCR is the generation of a probability distribution of potential future exposure. Here we look at how price paths and future market prices are generated to calculate counterparty credit exposure.

;