Difference between revisions of "Wrong Way Risk"
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Given the default of the counterparty, the [[Replacement Cost]] is more substantial than otherwise expected. | Given the default of the counterparty, the [[Replacement Cost]] is more substantial than otherwise expected. | ||
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| + | == See Also == | ||
| + | * [[Default Dependency]] | ||
[[Category:Credit Risk]] | [[Category:Credit Risk]] | ||
Revision as of 10:24, 25 September 2021
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.
