Rethinking Valuation and Pricing Models

7

Designing a Counterparty Risk Management Infrastructure for Derivatives

Matthieu Maurice

Commerzbank

Chapter Outline

7.1 Need for an Integrated Counterparty Risk Management

7.1.1 Trade workflow pre-crisis

7.1.2 Review of the process during the financial crisis

7.2 Building Blocks for an Adequate Infrastructure

7.2.1 Data management

7.2.1.1 Trade data

7.2.1.2 Market data

7.2.1.3 Counterparty data

7.2.2 Usage of markup languages

7.2.3 Application of cubes

7.2.4 Grid computing

7.3 General Computing Approach

7.3.1 Scenario generation

7.3.2 Pricing and analytics

7.3.3 Portfolio aggregation engines

7.3.3.1 Mitigation process phase 1: netting agreements

7.3.3.2 Mitigation process phase 2: collateralization (under CSA agreement)

7.3.3.3 Mitigation process ...