{"product_id":"finance-and-economics-discussion-series-measuring-counterparty-credit-exposure-to-a-margined-counterparty-9781288711413","title":"Finance and Economics Discussion Series: Measuring Counterparty Credit Exposure to a Margined Counterparty","description":"\u003cp\u003e • Author(s): Michael S. Gibson | United States Federal Reserve Board\u003cbr\u003e • Publisher: Bibliogov\u003cbr\u003e • Publisher Imprint: Bibliogov\u003cbr\u003e • BISAC: General\u003c\/p\u003e\u003cp\u003eFirms 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.\u003c\/p\u003e","brand":"Atlantic Books","offers":[{"title":"Paperback","offer_id":46494556553367,"sku":"9781288711413","price":1336.0,"currency_code":"INR","in_stock":true}],"url":"https:\/\/atlanticbooks.com\/products\/finance-and-economics-discussion-series-measuring-counterparty-credit-exposure-to-a-margined-counterparty-9781288711413","provider":"Atlantic Books","version":"1.0","type":"link"}