Carlos Blanco outlines an approach to counterparty risk using potential future exposure
ABSTRACT We present a unified framework to study the effect of the correlation between interest rate volatility and counterparty default probability on the credit risk of collateralized interest rate...
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More Counterparty risk articles
Higher discount rate can cut payouts to in-the-money clients by millions
We present the results of a business solution on how to measure credit and counterparty risk, with the main focus on over-the-counter derivatives. Moreover, we use this approach to include the measurement...
Counterparty concerns could lead to increased use of clearing
Early warning signs can provide vital clues to firms with ‘feet of clay’
Regulators recently published the findings of a study of counterparty risk data at the world’s largest banks – it makes for depressing reading, says David Rowe, and is symptomatic of deeper prob...
A 30-fold increase in its computing grid, enabling coverage of 90% of the bank's derivatives business - a two-year overhaul of the counterparty risk framework at Royal Bank of Scotland wins this yea...
Court will rule on compromise agreement between bankrupt city and swaps counterparties
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