Counterparty Risk CVA Operations research（交易对手风险患者运筹学）.pdf

Counterparty Risk CVA Eduardo Canabarro Global Head of Risk Analytics Morgan Stanley, New York Disclaimer This presentation contains statements and views of the author only. It is not intended to represent the views of Morgan Stanley. 2 2 Introduction OTC derivatives are efficient and effective tools to transfer financial risks between market participants As a byproduct of such transfer, they create credit risk between the counterparties They also increase the connectedness of the financial system Banks have built sophisticated frameworks to manage their counterparty credit risks Typically, a large bank has many thousands of counterparties, trillions of dollars of derivatives’ notional and billions of dollars of credit exposures to their counterparties In this presentation we’ll cover counterparty risk pricing (aka CVA), hedging, stress testing, capital, and CCPs 3 3 Counterparty exposures: bilateral and market-driven Typically, both counterparties face credit risks with respect to each other Counterparty exposures are driven by market risk factors It is necessary to measure potential future exposures (PFEs) beyond the current level of exposure 4 4 Simulation of PFEs Banks use Monte Carlo methods to simulate the future values of the portfolio of derivatives with a counterparty