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Gross market value

Il valore nozionale dei derivati non è una misurazione di rischio: corrisponde all'ammontare del sottostante del contratto (debito, bond, importo ipotetico) sul quale sono calcolati i flussi dei pagamenti tra le due controparti. Un indicatore di rischio (ma gonfiato) è il gross market value, che corrisponde al valore assoluto dato dalla somma del mark-to-market positivo e negativo di tutti i contratti in essere (le somme che verrebbero pagate e ricevute dalle controparti nel caso di chiusura anticipata del derivato). Il gross credit exposure misura il mark-to-market positivo o negativo dopo il netting, cioè l'annullamento di posizioni con segno opposto tra stesse controparti.

(Aggiornato il 08 giugno 2011 )

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