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Is credit risk a market risk exposure that must be disclosed under the rules?

April 26, 2017credit disclosed exposure market risk rules

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Is credit risk a market risk exposure that must be disclosed under the rules?

1 Answer

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Answer No. But if a company uses credit derivatives disclosure may be required. Certain credit derivatives are derivative financial instruments and must be included in the quantitative market risk disclosures if the instruments have exposure to changes in interest rates or foreign currency.