Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
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Market-driven defaults, such as that of Archegos, point to the importance of wrong-way risk, concentration and leverage in shaping the tail of the credit loss distribution. Here, Fabrizio Anfuso presents a minimal framework for the joint dynamics of the market risk factors, the trade and collateral portfolio and the overall balance sheet of the defaulting
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