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Managing Counterparty Credit Risk

Capital Requirements for Retail, Commercial and Proprietary Portfolio Strategies

This research paper brings some clarity on how to deal with Counterparty Credit Risk (CCR) in the current financial environment by detailing some of the multiple aspects and challenges involved.

The goal of this document is to study the conditions for the effective risk management of CCR by comparing capital requirements, identifying inconsistencies in prudential regulations and applying the various capital approaches on some typical portfolio strategies observed within financial institutions.

Published on: February 24, 2015

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