search query: @author Cooper, D. F. / total: 9
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| Author: | Cooper, D. F. Watson, I. R. |
| Title: | How to assess credit risks in swaps. |
| Journal: | Banker
1987 : FEB, VOL. 137:732, p. 28-31 |
| Index terms: | BANK LENDING CREDIT CONTROL RISK MEASUREMENT |
| Language: | eng |
| Abstract: | Having built up portfolios of interest and currency swaps, the banks apply new approaches to measure the risks involved. Initially the risk associated with the swap transaction was evaluated independently of the bank's other activities. New risk evaluations are based on the marginal increase in the overall risk. For interest rate swaps replacement costs arise because the fixed rate changes. Measures of the credit risk of this type are based on the replacement costs. Using worst case scenarios resulted in exaggerated estimates of the risks. New methods reduced this bias. |
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