Posts tagged as:

counterparty

Measuring aggregate risk in CDS markets

September 25, 2009

The ECB recently published this lengthy report (PDF link) on the state of the CDS market, with particular focus on counterparty risk. It is well worth a read for either a cursory overview or more in-depth look at the mechanics and concerns of that market. Section 3.4 regarding counterparty risk measures was especially interesting to […]

1 comment Read the whole post →