Exposure under systemic impact

Michael Pykhtin and Alexander Sokol
20 Aug 2013

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The financial crisis of 2007–2009 has emphasised the importance of measuring and managing counterparty credit risk (CCR) for all market participants. The collapse of Bear Stearns, Lehman Brothers and Wachovia showed that even the largest financial institutions can fail. In particular the Lehman Brothers’ default illustrated that failure of a large financial institution can disrupt world markets and adversely affect the world economy. In the wake of the crisis, the Basel Committee on Banking

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