Reset to Today

To access the FCA Handbook Archive choose a date between 1 January 2001 and 31 December 2004.

Content Options

Add to favourites

View Options

More Resources:

External link Handbook Publications

You are viewing the version of the document as on 2021-01-01.

Timeline guidance

Alternative versions

specific wrong-way risk

    45(180for 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 exposure to a particular counterparty is positively correlated with the probability of default of the counterparty due to the nature of the transactions with the counterparty; a firm is exposed to specific wrong-way risk if the future exposure to a specific counterparty is expected to be high when the counterparty's probability of default is also high.

    [Note: Part 1 of Annex III of the Banking Consolidation Directive (Definitions)]180