The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives

@article{Nanumyan2015TheNO,
  title={The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives},
  author={V. Nanumyan and Antonios Garas and F. Schweitzer},
  journal={PLoS ONE},
  year={2015},
  volume={10}
}
  • V. Nanumyan, Antonios Garas, F. Schweitzer
  • Published 2015
  • Medicine, Business, Economics, Physics
  • PLoS ONE
  • 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, institutions only report their aggregated quarterly risk exposure, but no details about their counterparties. Hence, little is known about the diversification of counterparty risk. In this paper, we… CONTINUE READING