Lecture_7_CVA_201820180402201111

Introduction
Counterparty Risk
BIS 2016 – OTC Market
The volume of outstanding OTC derivatives has grown exponentially over the
past 30 years. According to market surveys conducted by ISDA and BIS:
notional amounts of outstanding interest rate and currency swaps went from
$866 billion in 1987 to $17.7 trillion in 1995, $99.8 trillion in 2002 and $544
trillion in 2016
the gross market value of outstanding derivatives contracts – i.e. the cost of
replacing all outstanding contracts at market prices prevailing on the reporting
date – amounted to $20.7 trillion at the end June 2016
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