ING-Barings Adds Repo, Credit Spreads To Market VaR
LONDON--ING-Barings is attempting to fend off the credit risks associated with emerging market trading by incorporating tools for analyzing repo spread risks and credit spread risks into the firm's market risk valuation process for credit default swaps. The novel move could prove revolutionary, in not only introducing repo rates as one factor in predicting counterparty default, but also in establishing a foundation for integrating credit and market risks.
Both components are part of New York
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