In an interest rate swap, what would be a typical range (order of magnitude) for the exposure

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In an interest rate swap, what would be a typical range (order of magnitude) for the exposure (the amount that could be lost in case of a default of the counterparty) in percent of the principal? Why?

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Fundamentals of Futures and Options Markets

ISBN: 978-0132993340

8th edition

Authors: John C. Hull

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Posted Date: Apr 18, 2024 10:16 AM

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In an interest rate swap, what would be a typical range (order of magnitude) for the exposure

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Interest Rate Swap Exposure 1 Definition Exposure in an interest rate swap refers to the potential loss that a party could incur if the counterparty d... View the full answer

Fundamentals of Futures and Options Markets

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