Difference between revisions of "Wrong Way Risk"
From Open Risk Manual
Wiki admin (talk | contribs) |
Wiki admin (talk | contribs) |
||
| Line 1: | Line 1: | ||
| − | '''Wrong Way Risk''' denotes the circumstances ([[Risk Type]]), usually in the context of a [[ | + | '''Wrong Way Risk''' denotes the circumstances ([[Risk Type]]), usually in the context of a [[Derivative]] 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. | Given the default of the counterparty, the [[Replacement Cost]] is more substantial than otherwise expected. | ||
Revision as of 10:25, 25 September 2021
Wrong Way Risk denotes the circumstances (Risk Type), usually in the context of a Derivative 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.
