Credit pricing principles

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A new respect for counterparty risk is reshaping the commercial landscape in the derivatives market. Growing numbers of banks are applying additional charges to their transactions, reflecting the cost they would bear if a counterparty collapsed while owing them money. These charges are calculated and applied differently from bank to bank, resulting in quotes that can vary by millions of dollars for the same transaction. Unsurprisingly, derivatives users are shopping around – and, for many, price

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