What should be considered when assessing counterparty credit risk and how can counterparty credit risk be defined?
Counterparty Credit Risk
Counterparty Credit Risk is generally deemed to be the risk that whilst a counterparty may have actioned the settlement of a transaction, there is the risk that the transaction could default before final settlement.
The Regulator informs, that Counterparty Credit Risk “(in accordance with Part 1 of Annex III of the Banking Consolidation Directive and for the purposes of BIPRU), the risk that the counterparty to a transaction could default before the final settlement of the transaction’s cash flows.
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