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Quantitative Finance · Glossaire

Qu'est-ce que « Settlement risk, Herstatt risk » ?

Aussi appelé : settlement risk · Herstatt risk

Definition 20.1 Markets II: Rates, FX and Credit · Chapitre 20 — Settlement Risk

The settlement risk of a foreign exchange trade is the risk that a party pays the currency it sold and does not receive the currency it bought. In its time-zone form, the payment of one leg becoming irrevocable hours before the other leg is due, it is called Herstatt risk.

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