Bank counterparty risk management

Given the financial crisis and the subsequent liquidity issues, several Corporates had to face bad debts in recent years, partly also as a consequence of bank failures. Increasing focus since then is put on finding optimal metrics to assess bank counterparty credit risk properly. Given the limited research in this area, this work should support to close that gap. The book provides a comprehensive overview of bank counterparty credit risk management, the bank portfolio structuring and the credit assessment process. Further, risk management and exposure aggregation will be dealt with. Based on relevant theory as well as interviews undertaken with 16 Austrian Corporates, the author confirms the hypothesis that firms are putting increasing emphasis on bank counterparty credit risk management since the financial crisis. 81% of the Corporates interviewed confirmed that Bank Counterparty Credit Risk is important within their organization. Also, it can be confirmed that rating based methodologies react to slow on changes in the creditworthiness of banks, despite the fact that Corporates are still focusing mainly on rating based methodologies in today’s practice.