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Results tagged with credit-risk
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user 15947
The risk that a borrower will default on any type of debt by failing to make required payments and that the corresponding lender suffers a loss.
4
votes
1
answer
3k
views
Why is the overnight index swaps considered risk-free?
What I have understood is that the overnight index swap is bootstrapped to discount rates/zero rates that in their turn are considered risk free. The reason being, that the reference rate of such swap …
- 215
2
votes
1
answer
2k
views
For IFRS9, losses should be discounted with the EIR, why is that sensible?
Within the IFRS9 framework it is stated that one needs to determine the expected losses and discount these with the effective interest rate (EIR), i.e. the contractual rate at initiation. However, I w …
- 215