Wrong-way risk (WWR) behaves differently for exposures to systemically important counterparties because their default has the potential to move financial markets before the close-out. Michael Pykhtin and...
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More Wrong-way exposures articles
Clearer's plans to create a special membership category for central banks and other sovereigns could undermine CCPs' risk-mutualisation model, rivals claim
European financial markets have been turned upside down by the sovereign debt crisis, with eurozone government bonds no longer regarded as completely risk-free. As a result, dealers are more wary of the correlation inherent in collateral denominated in...
Sovereign debt crisis raises fears about correlation of derivative collateral denominated in domestic currencies
There is growing interest in calculating counterparty creditexposure, especially on derivatives transactions. Manyfinancial institutions have begun to compute these exposuresregularly, to help determine credit lines and toprice the cost of credit. Often...
Unlike loans, swaps and other forward trades have uncertaincredit exposure that depends on the movementof market rates. To place these deals on a comparablebasis to loans, we need to determine the expectedexposure to the counterparty for each futureperiod.1...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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