Counterparty Credit Risk: The new challenge for global financial markets

Abbreviations

ABS	Asset-Backed Security
AIG	American International Group Inc.
AIGFP	AIG Financial Product
ASW	Asset SWap
ATE	Additional Termination Event
BCBS	Basel Committee on Banking Supervision
BCVA	Bilateral Credit Value Adjustment
BSM	Black–Scholes–Merton
CAPM	Capital Asset Pricing Model
CCDS	Contingent Credit Default Swap
CCF	Credit Conversion Factor
CCP	Central CounterParty
CDO	Collateralised Debt Obligation
CDPC	Credit Derivative Product Company
CDS	Credit Default Swap
CEM	Current Exposure Method
CF	CashFlow
CFTC	Commodity Futures Trading Commission
CLN	Credit-Linked Note
CPPI	Constant Proportion Portfolio Insurance
CPU	Central Processing Unit
CRG	Counterparty Risk Group
CSA	Credit Support Amount
CSO	Collateralised Synthetic Obligation
CVA	Credit Value Adjustment
DBL	Drexel–Burnham–Lambert
DC	Determination Committee
DD	Distance to Default
DPC	DDerivatives Product Company (or Corporation)
EAD	Exposure At Default
EDF	Expected Default Frequency
EE	Expected Exposure
EEPE	Effective Expected Positive Exposure
EPE	Expected Positive Exposure
ERM	Enterprise Risk Management
ETO	Early Termination Option
EVT	Extreme Value Theory
FX	Foreign eXchange
G10	Group of Ten
GCM	General Clearing Member
ICM	Individual Clearing Member
IMM	Internal Model Method; International Monetary Market
IRB	Internal Ratings Based
IRS	Interest Rate Swap
ISDA	International Swaps and Derivatives Association
LGD	Loss ...