Risk management is one of the key prerequisites for the stability of financial institutions. Credit risk, that is the risk of loss or risk of negative change in financial position of a company, caused by fluctuations in financial positions of its counterparties or lenders, is one of the more important groups of risk for insurance companies and banks. In this thesis, we will describe the Solvency 2 Directive in the insurance sector and the Basel 3 Accord in the banking sector. In addition, we will analyse the corresponding counterparty credit risk models and determine if there exists an optimal portfolio of credit risk exposures for credit risk minimisation. Lastly, we will demonstrate a counterparty credit risk calculation in a practical case.
|