Capturing credit correlation between counterparty and underlying

Capturing credit correlation between counterparty and underlying

The conventional approach to calculating counterparty exposure assumes that the underlying of the derivative and the counterparty credit quality are uncorrelated. There are many cases, however, where this assumption does not necessarily hold. Examples of these cases include emerging market currencies, commodity producers hedging future production and credit derivatives. In this article, we focus on the case of credit derivatives where the underlying reference entities are correlated with the cre

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 indvidual account here: