Going the wrong way

Counterparty Credit Risk


Counterparty credit risk has become an increasingly significant issue since losses on US subprime mortgages became a cause for concern in July 2007. In the past six months, worries about dealing with vulnerable counterparties have even infected the interbank market, turning once-placid Libor rates into a gauge of market fear (Risk January 2008, pages 74-76).

From being a somewhat mysterious back-office preoccupation, counterparty credit risk is stepping out from the shadows, acknowledges Rob O

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