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The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives
Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds. In rather informal markets, such as the OTC (over-the-counter) derivative market, i...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2015
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4559453/ https://www.ncbi.nlm.nih.gov/pubmed/26335223 http://dx.doi.org/10.1371/journal.pone.0136638 |