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

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 or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a 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