Does it support regulatory compliance like Basel III?

Yes, it covers regulatory capital calculations including SA-CCR (Standardized Approach for Counterparty Credit Risk) and CVA (Credit Valuation Adjustment) charges.

What is counterparty credit risk in trading?

Counterparty credit risk is the risk that a trading partner defaults on their obligations before the final settlement of a transaction's cash flows, potentially resulting in financial loss.

How does this skill handle ISDA Master Agreements?

It provides detailed guidance on evaluating netting benefits and structuring Credit Support Annex (CSA) terms to reduce credit exposure through collateral exchange.

Can this skill help with Potential Future Exposure (PFE)?

Yes, it outlines the methodology for PFE calculation, including Monte Carlo simulation steps and identifying risk factor drivers for diverse portfolios.

Counterparty Risk Management

Name: Counterparty Risk Management
Author: JoelLewis

byJoelLewis

•

分析与监控

Manages and measures counterparty credit risk for OTC derivatives and institutional securities trading operations.

This skill provides specialized guidance for evaluating and managing counterparty credit risk (CCR) across the trading lifecycle. It enables users to calculate complex exposure metrics like Potential Future Exposure (PFE) and Exposure at Default (EAD), design collateral management frameworks using Credit Support Annex (CSA) terms, and ensure compliance with regulatory standards like Basel III and SA-CCR. It is an essential resource for developers building risk dashboards, quants modeling netting benefits under ISDA Master Agreements, and operations teams monitoring real-time creditworthiness through CDS spreads and financial analysis.

主要功能

01Implement regulatory capital frameworks including SA-CCR and CVA capital charges

02Calculate Current (CE) and Potential Future Exposure (PFE) using Monte Carlo simulations

03Design collateral management processes and Credit Support Annex (CSA) terms

04Monitor counterparty creditworthiness via CDS spreads, ratings, and financial ratios

0518 GitHub stars

06Analyze netting and close-out arrangements under ISDA Master Agreements

使用场景

01Automating Exposure at Default (EAD) calculations for Basel III regulatory reporting

02Building real-time risk dashboards to monitor counterparty limit utilization

03Evaluating the impact of central clearing mandates under Dodd-Frank and EMIR

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add joellewis/finance_skills counterparty-risk

For use in Claude.ai and ChatGPT

Download Skill