Evaluation of Credit Risk, Counter Party Credit Risk and Market Risk

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An evaluation of the Credit Risk
Counter party credit Risk and Market Risk
Prepared By
Student’s Name:
Date:

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Executive Summary
The purpose of our study is to critically analyze the Bank of International settlements (BIS) most
preferred credit risk measurement approach which has also been recommended for the other
internationally active banks too. At the same time, an attempt has been made to explore the
challenges associated with the credit valuation adjustment for systematically important financial
institutions that forms the part of the first part of our analysis.
The second section named as part B consists of the performance of the value at risk analysis
along with the findings based on such analysis. Further it is intended to prove the fundamental
overview of the FRTB along with the evaluation of the fact of the impact of this new regulation
within the Financial Service Industry in terms of the market risk management.

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Table of Contents
Executive Summary.........................................................................................................................2
Introduction......................................................................................................................................4
Part A-..............................................................................................................................................5
Part B...............................................................................................................................................9
References........................................................................................................................................9

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Introduction
The Part A, being the first part of our study provides an analysis on the Bank of international
settlement’s most preferred credit risk measurement approach along the detailed discussion on
the challenges on the implementation of the credit valuation adjustment. The part B provides the
application of the VaR analysis along with the overview of the FRTB and its effect on market
risk management. (240)