Risk Books Chapters


March:  Efficient Calculation of Counterparty Exposure Conditional on Default (with Philip Koop and Daniel T
(2010, Counterparty Credit Risk, Eduardo Canabarro, ed.) This chapter describes a computationally efficient method of estimating counterparty credit exposure conditional on default. It can support derivation of the incremental impact of a new transaction on the Credit Valuation Adjustment (CVA) with sufficient speed to influence the price quoted by a trader.


August:  CDOs Risks, Challenges and Market Outlook (with Cyril Deretz)
(2008, The Definitive Guide to CDOs, 2008, Gunter Meissner ed.) Sometimes your timing can be just awful. This chapter from a major collection of papers on collateralized debt obligations (CDOs) was finalized in early 2008 and ultimately published in August, just before the intense financial crisis in early September 2008. There certainly are things I would choose to change with 20/20 hindsight. All in all, however, I think most of what was said here has stood the test of time.


February:  The Evolution of Counterparty Credit Risk Management
(2003, Modern Risk Management: A History, Peter Field, ed.) This paper traces the roots of counterparty credit risk management in discussions around the Basel I accord in the 1980s and then describes the progress of increasingly sophisticated methods for measuring and monitoring this type of risk. It concludes with some speculations about the future.