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E-grāmata: Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets

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  • Formāts: PDF+DRM
  • Sērija : Wiley Finance Series
  • Izdošanas datums: 07-Sep-2012
  • Izdevniecība: John Wiley & Sons Inc
  • Valoda: eng
  • ISBN-13: 9781118316658
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Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial MarketsPalielināt
  • Formāts: PDF+DRM
  • Sērija : Wiley Finance Series
  • Izdošanas datums: 07-Sep-2012
  • Izdevniecība: John Wiley & Sons Inc
  • Valoda: eng
  • ISBN-13: 9781118316658
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A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner

Since the collapse of Lehman Brothers and the resultant realization of extensive counterparty risk across the global financial markets, the subject of counterparty risk has become an unavoidable issue for every financial institution. This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it. It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way counterparty risks. In addition, the book addresses the design and benefits of central clearing, a recent development in attempts to control the rapid growth of counterparty risk. This uniquely practical resource serves as an invaluable guide for market practitioners, policy makers, academics, and students.

Acknowledgements xvii
List of Spreadsheets
xix
List of Appendices
xxi
SECTION I INTRODUCTION
1(40)
1 Introduction
3(6)
2 Background
9(12)
2.1 Introduction
9(1)
2.2 Financial risk
9(2)
2.2.1 Market risk
9(1)
2.2.2 Credit risk
10(1)
2.2.3 Liquidity risk
10(1)
2.2.4 Operational risk
10(1)
2.2.5 Integration of risk types
11(1)
2.3 Value-at-Risk
11(3)
2.3.1 Definition
11(1)
2.3.2 The dangers of VAR
12(1)
2.3.3 Models
13(1)
2.3.4 Correlation and dependency
14(1)
2.4 The derivatives market
14(4)
2.4.1 Uses of derivatives
14(1)
2.4.2 Exchange-traded and OTC derivatives
15(1)
2.4.3 Risks of derivatives
16(1)
2.4.4 Too big to fail and systemic risk
16(2)
2.4.5 Credit derivatives
18(1)
2.5 Counterparty risk in context
18(2)
2.5.1 The rise of counterparty risk
18(1)
2.5.2 Counterparty risk and CVA
19(1)
2.5.3 Mitigating counterparty risk
19(1)
2.5.4 Counterparty risk and central clearing
20(1)
2.6 Summary
20(1)
3 Defining Counterparty Credit Risk
21(20)
3.1 Introducing counterparty credit risk
21(9)
3.1.1 Counterparty risk versus lending risk
22(1)
3.1.2 Settlement and pre-settlement risk
22(2)
3.1.3 Exchange-traded derivatives
24(1)
3.1.4 OTC-traded derivatives
25(2)
3.1.5 Repos and securities lending
27(1)
3.1.6 Mitigating counterparty risk
28(1)
3.1.7 Counterparty risk players
29(1)
3.2 Components and terminology
30(4)
3.2.1 Credit exposure
30(1)
3.2.2 Default probability, credit migration and credit spreads
31(1)
3.2.3 Recovery and loss given default
32(1)
3.2.4 Mark-to-market and replacement cost
33(1)
3.2.5 Mitigating counterparty risk
34(1)
3.3 Control and quantification
34(6)
3.3.1 Credit limits
35(1)
3.3.2 Credit value adjustment
36(1)
3.3.3 CVA or credit limits?
37(1)
3.3.4 What does CVA represent?
38(1)
3.3.5 Hedging counterparty risk
38(1)
3.3.6 Portfolio counterparty risk
39(1)
3.4 Summary
40(1)
SECTION II MITIGATION OF COUNTERPARTY CREDIT RISK
41(114)
4 Netting, Compression, Resets and Termination Features
45(14)
4.1 Introduction
45(1)
4.1.1 The origins of counterparty risk
45(1)
4.1.2 The ISDA master agreement
45(1)
4.2 Netting
46(5)
4.2.1 Payment netting
46(1)
4.2.2 The need for closeout netting
47(1)
4.2.3 Closeout netting
48(1)
4.2.4 Netting sets and subadditivity
49(1)
4.2.5 The impact of netting
50(1)
4.2.6 Product coverage
51(1)
4.3 Termination features and trade compression
51(6)
4.3.1 Reset agreements
51(1)
4.3.2 Additional termination events
52(3)
4.3.3 Walkaway features
55(1)
4.3.4 Trade compression and multilateral netting
55(2)
4.4 Conclusion
57(2)
5 Collateral
59(20)
5.1 Introduction
59(5)
5.1.1 Rationale for collateral
59(1)
5.1.2 Analogy with mortgages
60(1)
5.1.3 The basics of collateralisation
61(1)
5.1.4 Collateral usage
61(1)
5.1.5 The credit support annex
62(2)
5.1.6 Impact of collateral
64(1)
5.2 Collateral terms
64(7)
5.2.1 Valuation agent
64(1)
5.2.2 Types of collateral
65(1)
5.2.3 Coverage of collateralisation
66(1)
5.2.4 Disputes and reconciliations
66(1)
5.2.5 Margin call frequency
67(1)
5.2.6 Haircuts
68(1)
5.2.7 Coupons and interest payments
69(1)
5.2.8 Substitution, funding costs and rehypothecation
70(1)
5.3 Defining the amount of collateral
71(3)
5.3.1 Types of CSA
71(1)
5.3.2 Linkage of collateral parameters to credit quality
72(1)
5.3.3 Threshold
72(1)
5.3.4 Independent amount
73(1)
5.3.5 Minimum transfer amount and rounding
73(1)
5.4 The risks of collateralisation
74(3)
5.4.1 Market risk and the margin period of risk
74(1)
5.4.2 Operational risk
75(1)
5.4.3 Liquidity risk
75(1)
5.4.4 Funding liquidity risk
76(1)
5.5 Summary
77(2)
6 Default Remote Entities and the Too Big to Fail Problem
79(18)
6.1 Introduction
79(3)
6.1.1 Default remoteness and too big to fail
79(1)
6.1.2 From OTC to exchange-traded
80(2)
6.2 Special purpose vehicles
82(1)
6.3 Derivative product companies
82(2)
6.3.1 Standard DPCs
82(1)
6.3.2 The decline of DPCs
83(1)
6.4 Monolines and credit DPCs
84(9)
6.4.1 Rationale
84(1)
6.4.2 Monoline insurers
84(1)
6.4.3 Credit derivative product company
85(1)
6.4.4 The massive monoline failure
86(4)
6.4.5 Why the rating agencies got it wrong
90(1)
6.4.6 A (very simple) quantitative analysis of monolines
91(2)
6.5 Central counterparties
93(4)
6.5.1 Introduction
93(1)
6.5.2 Exchanges and clearing
94(1)
6.5.3 Basics of central clearing
94(3)
7 Central Counterparties
97(24)
7.1 Centralised clearing
97(8)
7.1.1 Systemic risk
97(1)
7.1.2 The impact of the crisis
98(1)
7.1.3 CCPs in perspective
99(1)
7.1.4 Function of a CCP
100(1)
7.1.5 Multilateral netting
101(2)
7.1.6 How many CCPs?
103(1)
7.1.7 Coverage of CCPs
104(1)
7.2 Logistics of central clearing
105(8)
7.2.1 Clearing members
105(1)
7.2.2 Variation margin
106(1)
7.2.3 Impact of default of a CCP member
106(2)
7.2.4 Initial margin
108(3)
7.2.5 Reserve funds, capital calls and loss mutualisation
111(1)
7.2.6 Interoperability
111(1)
7.2.7 Non-clearing members and end-users
112(1)
7.3 Analysis of the impact and benefits of CCPs
113(5)
7.3.1 The advantage of centralised clearing
114(1)
7.3.2 Have CCPs failed before?
114(1)
7.3.3 The impact of homogenisation
115(1)
7.3.4 Will a CCP be allowed to fail?
116(1)
7.3.5 Could OTC derivatives survive without CCPs?
116(2)
7.3.6 Hurdles and challenges for the growth of the CCP market
118(1)
7.4 Conclusions
118(3)
8 Credit Exposure
121(34)
8.1 Credit exposure
121(5)
8.1.1 Definition
121(1)
8.1.2 Bilateral exposure
122(1)
8.1.3 The closeout amount
123(1)
8.1.4 Exposure as a short option position
124(1)
8.1.5 Future exposure
124(1)
8.1.6 Comparison to value-at-risk
125(1)
8.2 Metrics for credit exposure
126(4)
8.2.1 Expected future value
126(1)
8.2.2 Potential future exposure
127(1)
8.2.3 Expected exposure
127(1)
8.2.4 EE and PFE for a normal distribution
128(1)
8.2.5 Maximum PFE
128(1)
8.2.6 Expected positive exposure
129(1)
8.2.7 Negative exposure
130(1)
8.2.8 Effective expected positive exposure
130(1)
8.3 Factors driving credit exposure
130(8)
8.3.1 Loans and bonds
131(1)
8.3.2 Future uncertainty
131(1)
8.3.3 Periodic cash flows
132(3)
8.3.4 Combination of profiles
135(1)
8.3.5 Optionality
136(1)
8.3.6 Credit derivatives
137(1)
8.4 Understanding the impact of netting on exposure
138(5)
8.4.1 The impact of netting on future exposure
139(1)
8.4.2 Netting and the impact of correlation
139(2)
8.4.3 Netting and absolute value
141(2)
8.5 Credit exposure and collateral
143(7)
8.5.1 How much collateral?
144(2)
8.5.2 Margin period of risk
146(2)
8.5.3 Impact of collateral on exposure
148(1)
8.5.4 Repos and overcollateralisation
149(1)
8.6 Risk-neutral or real-world?
150(3)
8.6.1 The importance of measure
150(1)
8.6.2 Drift
150(2)
8.6.3 Volatility
152(1)
8.6.4 Correlations
153(1)
8.6.5 Conclusion
153(1)
8.7 Summary
153(2)
SECTION III CREDIT VALUE ADJUSTMENT
155(184)
9 Quantifying Credit Exposure
157(40)
9.1 Introduction
157(1)
9.2 Methods for quantifying credit exposure
157(2)
9.2.1 Add-ons
157(1)
9.2.2 Semi-analytical methods
158(1)
9.2.3 Monte Carlo simulation
159(1)
9.3 Monte Carlo methodology
159(6)
9.3.1 Simulation model
159(2)
9.3.2 Scenario generation
161(1)
9.3.3 Revaluation
162(2)
9.3.4 Aggregation
164(1)
9.3.5 Post-processing
164(1)
9.3.6 Extraction
164(1)
9.4 Models for credit exposure
165(5)
9.4.1 Risk-neutral vs real-world
165(1)
9.4.2 Interest rates
166(1)
9.4.3 FX and inflation
167(1)
9.4.4 Commodities
168(1)
9.4.5 Credit spreads
168(1)
9.4.6 Equities
168(1)
9.4.7 Correlations
169(1)
9.4.8 Stochastic volatility
170(1)
9.5 Netting examples
170(5)
9.5.1 Examples
170(2)
9.5.2 Exposure profiles
172(3)
9.6 Allocating exposure
175(10)
9.6.1 Simple two-trade, single-period example
175(3)
9.6.2 Incremental exposure
178(2)
9.6.3 Marginal exposure
180(4)
9.6.4 Calculation of incremental and marginal exposure
184(1)
9.7 Exposure and collateral
185(10)
9.7.1 Collateral assumptions
185(1)
9.7.2 Base case example
186(2)
9.7.3 Impact of margin period of risk
188(1)
9.7.4 Impact of threshold and independent amount
189(2)
9.7.5 Are two-way CSAs always beneficial?
191(1)
9.7.6 Non-cash collateral
192(3)
9.8 Summary
195(2)
10 Default Probability, Credit Spreads and Credit Derivatives
197(28)
10.1 Default probability and recovery rates
197(14)
10.1.1 Defining default probability
197(1)
10.1.2 Real and risk-neutral default probabilities
198(2)
10.1.3 Estimating real default probabilities - historical data
200(3)
10.1.4 Estimating real default probabilities - equity-based approaches
203(1)
10.1.5 Estimating risk-neutral default probabilities
204(3)
10.1.6 Comparison between real and risk-neutral default probabilities
207(2)
10.1.7 Recovery rates
209(2)
10.2 Credit default swaps
211(6)
10.2.1 Basics of CDSs
212(1)
10.2.2 Credit events
213(1)
10.2.3 CDS settlement
213(2)
10.2.4 The CDS-bond basis
215(1)
10.2.5 Contingent credit default swaps
216(1)
10.3 Curve mapping
217(3)
10.3.1 Basics of mapping
218(1)
10.3.2 Indices and classification
218(1)
10.3.3 Curve shape
219(1)
10.4 Portfolio credit derivatives
220(4)
10.4.1 CDS index products
220(1)
10.4.2 Index tranches
221(1)
10.4.3 Super senior risk
222(1)
10.4.4 Collateralised debt obligations
223(1)
10.5 Summary
224(1)
11 Portfolio Counterparty Credit Risk
225(16)
11.1 Introduction
225(1)
11.2 Double default
225(4)
11.2.1 Joint default events
225(1)
11.2.2 Merton-style approach
226(1)
11.2.3 Impact of correlation
227(2)
11.3 Credit portfolio losses
229(10)
11.3.1 Simple two-name example
230(1)
11.3.2 Loss distributions and unexpected loss
231(2)
11.3.3 Example
233(3)
11.3.4 The alpha factor
236(2)
11.3.5 Alpha and wrong-way risk
238(1)
11.4 Summary
239(2)
12 Credit Value Adjustment
241(24)
12.1 Definition of CVA
242(4)
12.1.1 Why pricing CVA is not easy
242(1)
12.1.2 CVA formula
242(3)
12.1.3 CVA as a spread
245(1)
12.2 CVA and exposure
246(4)
12.2.1 Exposure and discounting
246(1)
12.2.2 Risk-neutral exposure
246(2)
12.2.3 CVA semi-analytical methods
248(2)
12.3 Impact of default probability and recovery
250(2)
12.3.1 Credit spread impact
250(1)
12.3.2 Recovery impact
251(1)
12.4 Pricing new trades using CVA
252(8)
12.4.1 Netting and incremental CVA
252(2)
12.4.2 Marginal CVA
254(2)
12.4.3 CVA as a spread
256(1)
12.4.4 Numerical issues
257(2)
12.4.5 Path dependency, break clauses and exotics
259(1)
12.5 CVA with collateral
260(3)
12.5.1 Impact of margin period of risk
260(1)
12.5.2 Threshold CSAs and independent amounts
261(2)
12.6 Summary
263(2)
13 Debt Value Adjustment
265(18)
13.1 DVA and counterparty risk
265(6)
13.1.1 The need for DVA
265(1)
13.1.2 Bilateral CVA
266(2)
13.1.3 Examples of BC VA
268(2)
13.1.4 Impact of collateral
270(1)
13.1.5 Properties of DVA
271(1)
13.2 The DVA controversy
271(3)
13.2.1 Liability measurement and accounting standards
271(3)
13.3 How to monetise DVA
274(3)
13.3.1 File for bankruptcy
274(1)
13.3.2 Unwinds and novations
274(2)
13.3.3 Closeout
276(1)
13.3.4 Hedging
276(1)
13.3.5 Funding
277(1)
13.4 Further DVA considerations
277(4)
13.4.1 Impact of default correlation
277(1)
13.4.2 DVA and closeout
278(3)
13.5 Summary
281(2)
14 Funding and Valuation
283(24)
14.1 Background
283(2)
14.2 OIS discounting
285(5)
14.2.1 The impact of CS As
285(1)
14.2.2 OIS and LIBOR rates
286(1)
14.2.3 CSA optionality
287(1)
14.2.4 Central counterparties
288(1)
14.2.5 Methodology
289(1)
14.3 Funding value adjustment
290(9)
14.3.1 The need for FVA
290(1)
14.3.2 The source of funding costs
290(2)
14.3.3 DVA formula
292(2)
14.3.4 Defining the funding rate
294(1)
14.3.5 Examples
295(1)
14.3.6 FVA and DVA
296(2)
14.3.7 The impact of collateral
298(1)
14.4 Optimisation of CVA, DVA and funding costs
299(5)
14.4.1 The spectrum of trading with BCVA and FVA
299(2)
14.4.2 The impact of CS As
301(1)
14.4.3 Central clearing
302(2)
14.4.4 Optimisation and impact of regulatory capital
304(1)
14.5 Future trends
304(2)
14.5.1 Standard CS A
304(1)
14.5.2 The conversion of CVA into funding liquidity risk
305(1)
14.6 Summary
306(1)
15 Wrong-Way Risk
307(32)
15.1 Introduction
307(1)
15.2 Overview of wrong-way risk
307(7)
15.2.1 Simple example
307(1)
15.2.2 Classic example and empirical evidence
308(1)
15.2.3 Right-way risk and hedging
309(1)
15.2.4 Wrong-way risk challenges
310(1)
15.2.5 Wrong-way risk and CVA
311(1)
15.2.6 Simple example
311(3)
15.3 Portfolio wrong-way risk
314(5)
15.3.1 Correlation approach
314(1)
15.3.2 Parametric approach
315(3)
15.3.3 Calibration issues
318(1)
15.3.4 DVA and wrong-way risk
318(1)
15.4 Trade-level wrong-way risk
319(12)
15.4.1 Interest rates
319(4)
15.4.2 Foreign exchange example
323(2)
15.4.3 Risky option position
325(3)
15.4.4 Commodities
328(1)
15.4.5 Contingent CDS
328(1)
15.4.6 Wrong-way risk and collateral
329(2)
15.5 Wrong-way risk and credit derivatives
331(6)
15.5.1 Single-name credit derivatives
331(1)
15.5.2 Credit derivative indices and tranches
332(2)
15.5.3 The failure of CDOs
334(2)
15.5.4 Central clearing and wrong-way risk
336(1)
15.6 Summary
337(2)
SECTION IV MANAGING COUNTERPARTY CREDIT RISK
339(96)
16 Hedging Counterparty Risk
341(30)
16.1 Background to CVA hedging
342(4)
16.1.1 Aim of CVA hedging
342(1)
16.1.2 CVA as an exotic option
342(2)
16.1.3 Risk-neutral or real-world?
344(1)
16.1.4 Traditional hedging of fixed exposures
344(2)
16.2 Components of CVA hedging
346(3)
16.2.1 Single-name CDS
346(1)
16.2.2 Contingent CDS
347(1)
16.2.3 CVA Greeks
348(1)
16.3 Exposure hedges
349(5)
16.3.1 Spot/forward rates
349(2)
16.3.2 Drift and hedging
351(1)
16.3.3 Volatility
352(2)
16.4 Credit hedges
354(3)
16.4.1 Credit delta
354(1)
16.4.2 Gamma and jump-to-default risk
354(2)
16.4.3 Credit hedging with indices
356(1)
16.4.4 Recovery rate sensitivity
357(1)
16.5 Cross-dependency
357(5)
16.5.1 Re-hedging costs
357(1)
16.5.2 Cross-gamma
358(2)
16.5.3 Hedging wrong-way risk
360(1)
16.5.4 Unintended consequences of CVA hedging
360(1)
16.5.5 Index CCDSs
361(1)
16.6 The impact of DVA and collateral
362(6)
16.6.1 Hedging bilateral counterparty risk
362(2)
16.6.2 DVA and index hedging
364(2)
16.6.3 Impact of collateral on hedging
366(1)
16.6.4 Aggregation of sensitivities
367(1)
16.7 Summary
368(3)
17 Regulation and Capital Requirements
371(32)
17.1 Introduction
371(1)
17.2 Basel II
372(3)
17.2.1 Background
372(1)
17.2.2 General approach to credit risk
373(1)
17.2.3 Asset correlation and maturity adjustment factor
374(1)
17.3 Exposure under Basel II
375(9)
17.3.1 Current exposure method
376(1)
17.3.2 Standardised method
377(1)
17.3.3 Treatment of repo-style transactions
377(1)
17.3.4 Internal model method
378(1)
17.3.5 Exposure at default and alpha
379(2)
17.3.6 Collateral under the IMM
381(1)
17.3.7 Double default
382(2)
17.4 Basel III
384(15)
17.4.1 Basel III, counterparty credit risk and CVA
384(1)
17.4.2 Stressed EPE
385(1)
17.4.3 Backtesting
386(2)
17.4.4 CVA capital charge
388(1)
17.4.5 CVA VAR - advanced approach
389(2)
17.4.6 CVA VAR - standardised approach
391(1)
17.4.7 CVA VAR example
392(1)
17.4.8 Shortcomings and criticisms of CVAVAR
393(3)
17.4.9 Other relevant changes
396(3)
17.5 Central counterparties
399(2)
17.5.1 Trade- and default fund-related exposures
399(1)
17.5.2 Calculation of the hypothetical capital
399(1)
17.5.3 Calculation of aggregate capital requirements
400(1)
17.5.4 Allocation of aggregate capital to clearing members
401(1)
17.6 Summary
401(2)
18 Managing CVA - The "CVA Desk"
403(24)
18.1 Introduction
403(1)
18.2 The role of a CVA desk
404(6)
18.2.1 Motivation
404(1)
18.2.2 Mechanics of pricing
405(1)
18.2.3 Mandate and organisational aspects
406(1)
18.2.4 Centralised or decentralised?
407(1)
18.2.5 Coverage
408(1)
18.2.6 Profit centre or utility?
409(1)
18.3 CVA charging
410(5)
18.3.1 Lookup tables
411(1)
18.3.2 Product-specific pricing
411(1)
18.3.3 Full simulation-based pricing
411(1)
18.3.4 Unwinds, exercises, terminations and other special cases
412(2)
18.3.5 Reducing CVA charges
414(1)
18.3.6 Treatment of DVA
415(1)
18.4 Technology
415(4)
18.4.1 PEE vs CVA
415(2)
18.4.2 Building blocks
417(1)
18.4.3 Wrong-way risk
418(1)
18.4.4 Intraday calculations
418(1)
18.5 Practical hedging of CVA
419(6)
18.5.1 To hedge or not
420(1)
18.5.2 Actuarial approach
420(1)
18.5.3 Market approach
421(1)
18.5.4 DVA treatment
422(1)
18.5.5 PnL explain
422(1)
18.5.6 Securitisation
423(1)
18.5.7 Pragmatic approach to hedging
424(1)
18.6 Summary
425(2)
19 The Future of Counterparty Risk
427(8)
19.1 Key components
427(3)
19.1.1 Regulatory capital and regulation
427(1)
19.1.2 Collateral
428(1)
19.1.3 CVA hedging
428(1)
19.1.4 The credit derivative market
428(1)
19.1.5 Central clearing
429(1)
19.1.6 Too big to fail
429(1)
19.2 Key axes of development
430(2)
19.2.1 Quantification
430(1)
19.2.2 Infrastructure
430(1)
19.2.3 Risk mitigation
431(1)
19.2.4 DVA
431(1)
19.2.5 Wrong-way risk
431(1)
19.2.6 Links to valuation and funding costs
432(1)
19.2.7 Risk transfer
432(1)
19.3 The continuing challenge for global financial markets
432(3)
References 435(8)
Index 443
Jon Gregory is an experienced practitioner in the area of financial risk management. From 1995 to 1997 he worked in the Fixed Income division of Salomon Brothers. From 1997 to 2005 he was with BNP Paribas and from 2005 until 2008 he was global head of credit analytics at Barclays Capital. Jon has published a number of papers and articles on risk management, credit derivatives and quantitative finance and is a regular speaker at international conferences. He was a co-author of the book Credit: A Complete Guide to Pricing, Hedging and Risk Management, nominated in 2001 for the Kulp-Wright award for the most significant text in risk management and insurance. He is currently a partner at Solum Financial based in London and advises a number of banks on their counterparty risk and CVA practices. He holds a PhD from Cambridge University.
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