In-spite of large volume of Contingent Credit Lines (CCL) in all commercial banks paucity of Exposure at Default (EAD …

Purpose – The purpose of this paper is to assess the feasibility of risk-contingent credit (RCC) by presenting an …

paper studies the effect of mark-to-market (MTM) timing in collateral agreements on the contingent credit risk exposure. We … measure contingent credit risk exposure using Potential Future Exposure (PFE), the maximum amount of exposure expected to … agreement that can affect the contingent credit risk exposure include the frequency and timing of marking-to-market, trigger …

of a risk‐contingent credit product that is tied to primary markets and simple to implement. In this context, risk …