{"product_id":"finance-and-economics-discussion-series-michael-s-gibson-9781288711413","title":"Finance and Economics Discussion Series: Measuring Counterparty Credit Exposure to a Margined Counterparty","description":"Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use both a quasi- analytic approach and a simulation approach to quantify how margining reduces counterparty credit exposure. Margining reduces counterparty credit exposure by over 80 percent, using baseline parameter assumptions. I show how expected positive exposure (EPE) depends on key terms of the margin agreement and the current mark-to-market value of the portfolio of contracts with the counterparty. I also discuss a possible shortcut that could be used by firms that can model EPE without margin but cannot achieve the higher level of sophistication needed to model EPE with margin.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Michael S. Gibson\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 1288711417\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9781288711413\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Bibliogov\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 02\/06\/2013\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 22\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.13lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.69h x 7.44w x 0.05d","brand":"Michael S. Gibson","offers":[{"title":"Paperback","offer_id":48449455784191,"sku":"9781288711413","price":14.75,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_223f22f9-55fd-4aca-9c83-a2dd8810632f.jpg?v=1777263467","url":"https:\/\/www.whiterainbookhouse.com\/products\/finance-and-economics-discussion-series-michael-s-gibson-9781288711413","provider":"WR Book House","version":"1.0","type":"link"}