BoJ Warns Firms Over Wrong Way Risk

06 Jun 2012

Japanese financial firms with over-the-counter derivatives holdings have not adequately decreased their wrong way risk--the combination of counterparty credit risk and market exposure--since the collapse of Lehman Brothers, according to Japan’s central bank.

Japanese financial firms with over-the-counter derivatives holdings have not adequately decreased their wrong way risk--the combination of counterparty credit risk and market exposure--since the collapse of Lehman Brothers, according to Japan’s central bank.

Bank of Japan data released Tuesday shows credit default rates have jumped from about JPY10 ...

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