Do your teams have the CCR fundamentals they need?

Counterparty credit risk (CCR) is the risk that a counterparty defaults before the settlement or maturity date of a transaction. During this period, a bank needs to measure and manage not only CCR but also market risk – the risk that the value of a contract will change due to movements in market prices, such as interest or exchange rates.

In addition, the bank needs to consider credit value adjustments (CVAs). A CVA is an adjustment to the value of a contract due to a change in the creditworthiness of a counterparty. CVA risk is the risk the CVA will change, up or down, due to movements in credit spreads. Transactions that give rise to CCR also give rise to CVA risk. However, CVAs reflect the movement in a contract’s value due to a change in the probability of default (PD), whereas CCR assesses the risk of loss should default occur.

For CCR leaders, the challenge is rarely the definitions. It is ensuring that teams can apply these concepts consistently, interpret exposures correctly, and escalate issues early. This quiz is designed to test those foundational concepts; the ones every analyst, associate, and risk professional should know.

This quiz is written by experts in the area of counterparty credit risk. It is a part of Intuition Know-How, a digital learning solution for finance professionals.

Share this quiz with your teams and ask them to test their CCR knowledge.

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