Abstract
High volumes of transactions and volatility in foreign exchange rate markets during 1992 and 1993 have raised concerns about the robustness of the global financial system. The volume of foreign currency transactions has increased dramatically and presently exceeds one trillion US dollars in settlements each day. In a recent survey European bankers forecasted increasingly volatile (foreign) exchange rates, implying that risks in these markets will increase towards year 2000 [1]. Beyond trading required to help the functioning of an orderly market and to stabilize exchange rates, central bankers are increasingly participating in foreign currency trading with the purpose of generating revenues. This further contributes to higher volume and volatility.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Arthur Andersen Consulting (1993) European Banking and Capital Markets,The Economists Intelligence Unit.
Quinn, Brian (1993) ‘Derivatives — where next for the regulators’Global Derivatives: Public Sector Responses Group of Thirty, 33–37.
Blum, Georges (1993) ‘Competition between financial centres’ Swiss Bank Corporation/Prospects No. 6, 2–4.
Bank for International Settlements (1992)International Banking and Financial Market Developments(November), Basle, November 1992, 94.
Deutsche Bundesbank (1993) ‘Off-balance sheet activity of German banks’ Monthly Report October, 45–68.
Hull, J. and A. White (1992) ‘The price of default’ RISK (September), 104–106.
Hull, J. (1989) ‘Assessing credit risk in a financial institution’s off-balance sheet commitments’,Journal of Financial and Quantitative Analysis(December), 489–501.
Committee on Banking Regulations and Supervisory Practices (1988)International Convergence of Capital Measurements and Capital Standards (July) Basle, 1988.
Deutsche Bundesbank (1993) ‘Principles concerning the capital and liquidity of credit institutions’, Monthly Report (March), 47–61.
Norwegian Banking, Insurance and Securities Exchange Commission (1991)Forskrifter for utfylling av kapitaldekningsoppgaven (March), Oslo.
Bank of England (1989) BSD: Capital Adequacy Return London (July), 1989.
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1994 Springer Science+Business Media Dordrecht
About this chapter
Cite this chapter
Mokkelbost, P.B. (1994). Default Risk Exposure in Foreign Exchange Rate Derivatives. In: Fair, D.E., Raymond, R. (eds) The Competitiveness of Financial Institutions and Centres in Europe. Financial and Monetary Policy Studies, vol 28. Springer, Dordrecht. https://doi.org/10.1007/978-94-015-8350-3_27
Download citation
DOI: https://doi.org/10.1007/978-94-015-8350-3_27
Publisher Name: Springer, Dordrecht
Print ISBN: 978-90-481-4469-3
Online ISBN: 978-94-015-8350-3
eBook Packages: Springer Book Archive