Guide
Counterparty risk under stress, integrating PFE, what-if and XVA
For heads of counterparty risk and XVA desks: why exposure, limits and XVA should come from one simulation, how to run what-if and shocks on the live book, and what supervisors expect to see when markets move.
Guide, 7 pages, PDF. Sent on request, to a company email.
What it covers
- Many institutions compute counterparty risk three times, in three systems, and get three numbers
- One data set and one simulation serve PFE for limits, CVA and FVA for the desk and SA-CCR for capital
- The ECB's sound practices ask for daily limit monitoring and stress at the pace of the market; in practice that means exposure before the trade and re-runs when markets move
