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A Gentle Introduction to Default Risk and Counterparty Credit Modelling

Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 and Marena, M. (2016). A Gentle Introduction to Default Risk and Counterparty Credit Modelling (Report No. 10.2139/ssrn.2816355). SSRN Working Paper Series.

Abstract

In this paper we introduce the reader to the basic tools for the computation of Counterparty Credit Risk such as Credit Value Adjustment and Debt Value Adjustment. We also present the effect of mitigating clauses, like netting and collateral, in reducing the credit exposure. Detailed numerical examples are presented with reference to commodity derivatives.

Publication Type: Monograph (Working Paper)
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Finance
URI: http://openaccess.city.ac.uk/id/eprint/20048
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