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Quantitative Finance · Begrippenlijst

Wat is Counterparty credit risk?

Definition 17.1 Rates, Credit, XVA and Risk · Hoofdstuk 17 — Counterparty Exposure

Counterparty credit risk is the risk that the other party to a derivative defaults before the contract’s final payment while the contract has positive value to the surviving party. Unlike the credit risk of a loan, the amount at risk is uncertain and can change sign.

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