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FCA Handbook
Glossary
general wrong-way risk

You are viewing the version of the document as on 2021-12-31.

general wrong-way risk

68for the purpose of BIPRU 13 (The calculation of counterparty risk exposure values for financial derivatives, securities financing transactions and long settlement transactions)) the risk that arises when the probability of default of counterparties is positively correlated with general market risk factors.

[Note: Part 1 of Annex III of the Banking Consolidation Directive (Definitions)]68

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general wrong-way risk