Managing Counterparty Credit Risk – Capital Requirements For Retail, Commercial & Proprietary Portfolio Strategies
This Learning Curve studies the conditions for the effective risk management of counterparty credit risk (CCR) by detailing and comparing capital requirements, identifying inconsistencies in prudential regulations and applying the various capital approaches on some typical portfolio strategies observed within financial institutions.
By Dr. Dmitry Pugachevsky, director of research at Quantifi & Rohan Douglas, ceo at Quantifi, Jean-Roch Sibille, manager at Risk Dynamics, and Aurelie Civilio, senior consultant, Risk Dynamics
This Learning Curve studies the conditions for the effective risk management of counterparty credit risk (CCR) by detailing and comparing capital
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