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Bilateral netting

Credit Derivatives

Bilateral counterparty risk with application to CDSs

Published online only

Source: Risk magazine

Previous research on credit valuation adjustments (CVAs) with correlation between underlying and counterparty default, including volatilities of both, assumed unilateral default risk. However, the crisis...

Risk magazine | 05 Mar 2010  Image
Risk Management

Bilateral netting

Published online only

Source: Energy Risk

An agreement between two counterparties to offset the value of all in-the-money contracts with all out-of-the-money contracts, resulting in a single net exposure amount owed by one counterparty to the...

Energy Risk | 01 Jan 2001
Risk Management

Netting

Published online only

Source: Energy Risk

An agreement that offsets the value of contracts by creating a single net exposure between counterparties. *see also bilateral netting, multilateral netting

Energy Risk | 01 Jan 2001
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