Wrong Way Risk
From Open Risk Manual
Revision as of 10:24, 25 September 2021 by Wiki admin (talk | contribs)
Wrong Way Risk denotes the circumstances (Risk Type), usually in the context of a Derivatives contract where there is a significant positive dependency between the Counterparty’s Default and the mark-to-market value of the contract.
Given the default of the counterparty, the Replacement Cost is more substantial than otherwise expected.
