A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner Since the collapse of Lehman Brothers and the resultant realization of extensive counterparty risk across the global financial markets, the subject of counterparty risk has become an...

A recent trend in pricing counterparty credit risk for OTC derivatives has involved taking into account the bilateral nature of the risk so that an institution would reduce counterparty risk in line with their own default probability. Done to an extreme, this practice has worrying implications...