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交易对手风险

交易对手风险指交易对手不履约的风险。因为交易对手风险的存在,使得信用衍生产品并不能完全消除信用风险。但是同一般的信用风险相比,信用衍生产品本身的交易对手风险是较小的。这是因为信用衍生产品的交易对手或为一流的商业银行,或为信用等级为AAA级的投资银行。(信用等级分AAA级(信用等级优秀企业)、AA级(信用等级良好企业)、A级(信用等级较好企业)、B级(信用等级一般企业)、C级(信用等级较差企业)等五个等级。)这两类机构必定是资本充足并且违约概率较小。
目录

A counterparty is a party with which a transaction is done. If A sells something to B, then B is a counter-party from A's point of view and vice-versa.The risk that the counterparty will fail to fulfil their obligations - usually either by failing to pay or by failing to deliver securities - is called counterparty risk.There are a number of ways of controlling counterparty risk. Some are trading mechanisms such as DVP or the use of a central counterparty.Financial institutions should track and manage counterpart risk in much the same way as any other credit risk, and this should be integrated into institutions' overall risk management system.The counterparty risks from securities trading are either simple credit risks (where the risk is that the other party will not pay) or a combination of credit risk with the risk of a position in a derivative (where the risk is that the other part will not deliver securities).Counterparty risk tends to be at least as much of a concern to regulators as to the institutions exposed to it. This is because a large financial institution will be a counterparty to many others, and therefore the knock-on effects of its failure pose a systemic risk.


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