Abstract
In this chapter, we describe the methodologies for measuring and mitigating counterparty risk that are commonly practiced in major commercial banks. These methodologies have been recognized as industry standard approaches for internal model methods (IMM).
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References
Basel Committee, “The non-internal model method for capitalising counterparty credit risk exposures”, Consultative Document, Basel Committee on Banking Supervision, September 27, 2013.
Basel Committee, “Sound practices for backtesting counterparty credit risk models”, Basel Committee on Banking Supervision, December, 2010.
Basel Committee, “Basel III: A global regulatory framework for more resilient banks and banking systems”, Basel Committee on Banking Supervision, June, 2011.
Basel Committee, “The standardised approach for measuring counterparty credit risk exposures”, Basel Committee on Banking Supervision, April, 2014.
Basel Committee and BIO, “Margin requirements for non-centrally cleared derivatives”, Basel Committee on Banking Supervision and Board of the International Organization of Securities Commissions, September, 2013.
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Zhuang, D. (2017). IMM Approach for Managing Counterparty Credit Risk. In: Tian, W. (eds) Commercial Banking Risk Management. Palgrave Macmillan, New York. https://doi.org/10.1057/978-1-137-59442-6_3
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DOI: https://doi.org/10.1057/978-1-137-59442-6_3
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Publisher Name: Palgrave Macmillan, New York
Print ISBN: 978-1-137-59441-9
Online ISBN: 978-1-137-59442-6
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