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Citations (7)



A Guide to Modeling Counterparty Credit Risk

Steven H. Zhu

Banc of America Merrill Lynch; Morgan Stanley

Michael Pykhtin

Bank of America

GARP Risk Review, July/August 2007

Michael Pykhtin and Steven Zhu offer a blueprint for modelling credit exposure and pricing counter-party risk. They focus on two main issues: modelling credit exposure and pricing counter-party risk. In the part devoted to credit exposure, we will define credit exposure at contract and counter-party levels, introduce netting and margin agreements as risk management tools for reducing counter-party-level exposure and present a framework for modelling credit exposure. In the part devoted to pricing, we will define credit value adjustment (CVA) as the price of counter-party credit risk and discuss approaches to its calculation.

Number of Pages in PDF File: 7

Keywords: Credit Risk, Credit Exposure, Credit Value Adjustment, Netting and Margin Agreement

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Date posted: January 16, 2008 ; Last revised: March 4, 2008

Suggested Citation

Zhu, Steven H. and Pykhtin, Michael, A Guide to Modeling Counterparty Credit Risk. GARP Risk Review, July/August 2007. Available at SSRN: http://ssrn.com/abstract=1032522

Contact Information

Steven H. Zhu (Contact Author)
Banc of America Merrill Lynch ( email )
Bank of America Plaza
335 Madison Ave, 5th Floor
New York, NY 10017
United States
646-855-1853 (Phone)
HOME PAGE: http://www.riskwhoswho.com/Charter-Members.html
Morgan Stanley ( email )
1585 Broadway
New York, NY 10036
United States
Michael Pykhtin
Bank of America ( email )
231 S. La Salle St.
Chicago, IL 60604
United States
Feedback to SSRN

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