Table of Contents

Volume 4 of 6: Credit Risk Management

• I Introduction 44
• II Credit Allocation and Financial Risk Analysis 77
• • 1.0 Credit Policy 77
  • 2.0 Establishing Credit Limits 77
  • 3.0 The Cost of Credit 1111
• III Contracts 1212
• • 1.0 Contract Uses and Types 1212
  • 2.0 Contract/Credit Provisions 1313
• IV MEASUREMENT 1616
• • 1.0 Credit Exposure 1616
  • 2.0 Distribution of Losses Given Default 1717
  • 3.0 Credit Value at Risk (CVaR) 1818
  • 4.0 Implications for Credit Charges, Credit Reserves, and Credit Capital 1818
  • 5.0 Stress Testing and Scenario Analysis 1919
• V MONITORING 2020
• VI MITIGATION 2424
• • 1.0 Types of Risk Mitigation 2424
  • 2.0 Reduction Methods 2626
  • 3.0 Transfer Methods 2828
  • 4.0 Multilateral Clearing 2828