Mind the gap

Andrew Dickinson
13 Apr 2022

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

CLICK HERE TO DOWNLOAD THE PDF

There has been a cluster of market-driven defaults resulting in severe losses, including Archegos, Parplus, Malachite and a clearing member at Nasdaq. To understand these losses, Andrew Dickinson presents a generalised default intensity model that quantifies the extent of the risks posed by highly leveraged counterparties while remaining sufficiently tractable for practical use

In this article, we analyse the exposure to a leveraged counterparty whose default

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]