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Finance and Economics Discussion Series: Measuring Counterparty Credit Exposure to a Margined Counterparty
Paperback
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ISBN10: 1288711417
ISBN13: 9781288711413
Publisher: Bibliogov
Published: Feb 6 2013
Pages: 22
Weight: 0.13
Height: 0.05 Width: 7.44 Depth: 9.69
Language: English
ISBN13: 9781288711413
Publisher: Bibliogov
Published: Feb 6 2013
Pages: 22
Weight: 0.13
Height: 0.05 Width: 7.44 Depth: 9.69
Language: English
Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use both a quasi- analytic approach and a simulation approach to quantify how margining reduces counterparty credit exposure. Margining reduces counterparty credit exposure by over 80 percent, using baseline parameter assumptions. I show how expected positive exposure (EPE) depends on key terms of the margin agreement and the current mark-to-market value of the portfolio of contracts with the counterparty. I also discuss a possible shortcut that could be used by firms that can model EPE without margin but cannot achieve the higher level of sophistication needed to model EPE with margin.
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