when is credit risk highest for IRS/equity swap/ccy swap?
Is my understanding here correct:
IRS - towards end of swap as notionals need to be exchanged
Equity and ccy swap in the middle as there are still a number of potential payments to go that could be defaulted on
currency is highest - as notional amounts are exchanged. The risk is more prevalent in the middle to end of the swaps life
scatterbrain is correct.
For swaps (other than currency) credit risk is highest in the middle. For currency swap, due to exchange of notional, credit risk is highest in middle to end.
thanks guys