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Concerns grow on correlation of derivatives collateral

Author: Mark Pengelly

Source: Risk magazine | 28 Jun 2010

Categories: Collateral Risk Management

Topics: UBS, Spain, Greece, Italy, Portugal, Ireland, Collateral, Concentration risk, Correlation, Credit default swaps (CDSs), Derivatives, European Union (EU), International Swaps and Derivatives Association (Isda), Wrong-way exposures

Michael Clarke

Amid rising fears about sovereign risk, derivatives market participants have become increasingly worried about the correlation inherent in collateral denominated...

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Concerns grow on correlation of derivatives collateral

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