The industry’s worst nightmare

But counterparty credit risk never went away. The laws of physics tell us that a bar of gold effectively has a zero probability of turning to lead during the lifetime of the universe. Credit rating agency Standard & Poor’s (S&P) tells us that derivatives dealer JP Morgan Chase has a roughly one in 3,000 chance of defaulting on its $25 trillion notional derivatives portfolio over the next 12 months. That corresponds to a $8 billion notional value of derivatives contracts that can be expected to

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 copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: