Counterparty Risk in the Over-The-Counter Derivatives Market

Counterparty Risk in the Over-The-Counter Derivatives Market

4.11 - 1251 ratings - Source

The financial market turmoil of recent months has highlighted the importance of counterparty risk. Here, we discuss counterparty risk that may stem from the OTC derivatives markets and attempt to assess the scope of potential cascade effects. This risk is measured by losses to the financial system that may result via the OTC derivative contracts from the default of one or more banks or primary broker-dealers. We then stress the importance of qnettingq within the OTC derivative contracts. Our methodology shows that, even using data from before the worsening of the crisis in late Summer 2008, the potential cascade effects could be very substantial. We summarize our results in the context of the stability of the banking system and provide some policy measures that could be usefully considered by the regulators in their discussions of current issues.There has been very little (if any) research that looks at the full gamut of OTC derivatives market. ... 5 Barclays Quantitative Credit Strategy Research Note: Counterparty risk in credit markets, 20th February 2008 6 Barclays use a recovery valueanbsp;...

Title:Counterparty Risk in the Over-The-Counter Derivatives Market
Author: Mr. Manmohan Singh, Miguel A. Segoviano Basurto
Publisher:International Monetary Fund - 2008-11-01

You must register with us as either a Registered User before you can Download this Book. You'll be greeted by a simple sign-up page.

Once you have finished the sign-up process, you will be redirected to your download Book page.

How it works:
  • 1. Register a free 1 month Trial Account.
  • 2. Download as many books as you like (Personal use)
  • 3. Cancel the membership at any time if not satisfied.

Click button below to register and download Ebook
Privacy Policy | Contact | DMCA