It appears JavaScript is currently blocked

Check your browser settings and network. This website requires JavaScript for some content and functionality.

Skip to content

Reserve Bank of Australia

What are you looking for?

Monetary Policy
Market Operations
Payments & Infrastructure
Financial Stability
Banknotes
Financial Services
About Us

Media Releases
Speeches
Publications
Statistics
Chart Pack
Research
Archives
Education
Careers
Q&A
Contact Us

In RDP

About RDPs
Advanced Search for RDPs
2021–2025
2011–2020
2001–2010
1991–2000
1981–1990
1971–1980
1969–1970

Tags

asset quality, balance sheet, banking, banknotes, bonds, business, business cycle, capital, cash rate, central clearing, China, climate change, commercial property, commodities, consumption, COVID-19, credit, cryptocurrency, currency, digital currency, debt, education, emerging markets, exchange rate, export, fees, finance, financial markets, financial stability, First Nations, fiscal policy, forecasting, funding, global economy, global financial crisis, history, households, housing, income and wealth, inflation, insolvency, insurance, interest rates, international, investment, labour market, lending standards, liquidity, machine learning, macroprudential policy, mining, modelling, monetary policy, money, open economy, payments, productivity, rba survey, regulation, resources sector, retail, risk and uncertainty, saving, securities, services sector, technology, terms of trade, trade, wages

RDP 9411: Demand Shocks, Inflation and the Business Cycle
RDP 9410: An Empirical Examination of the Fisher Effect in Australia
RDP 9409: Default Risk and Derivatives: An Empirical Analysis of Bilateral Netting
RDP 9408: The Supervisory Treatment of Banks' Market Risk
RDP 9407: Explaining Import Price Inflation: A Recent History of Second Stage Pass-through
RDP 9406: Reserve Bank Operations in the Foreign Exchange Market: Effectiveness and Profitability
RDP 9405: External Debt and Liabilities of Industrial Countries
RDP 9404: Wage Dispersion and Labour Market Institutions: A Cross Country Study
RDP 9403: Capital Constraints and Employment
RDP 9402: The Influence of Financial Factors on Corporate Investment
RDP 9401: Resource Flows to the Traded Goods Sector

Research Discussion Paper – RDP 9409 Default Risk and Derivatives: An Empirical Analysis of Bilateral Netting

Marianne Gizycki and Brian Gray

December 1994

Abstract
Download the Paper 105KB

Contents

Introduction
Interest Rate Swaps
Credit Exposure
The Effects of Netting on Credit Exposure
Capital Standards
Results
Coverage
Conclusion
Appendix 1
Appendix 2
References

Related Information

Subscribe to RDP updates

Sign up for email and SMS alerts

Subscribe

Follow us

Facebook
X
LinkedIn
YouTube
Instagram
Flickr

Affiliate sites

Banknotes
Unreserved
Museum
Council of Financial Regulators
Australian Foreign Exchange Committee
H.C. Coombs Centre

The Reserve Bank of Australia supports the Foundation for Children.

The materials on this webpage are subject to copyright and their use is subject to the terms and conditions set out in the Copyright and Disclaimer Notice. © Reserve Bank of Australia, 2001–2025. All rights reserved. The Reserve Bank of Australia acknowledges the Aboriginal and Torres Strait Islander Peoples of Australia as the Traditional Custodians of this land, and recognises their continuing connection to country. We pay our respects to their Elders, past and present. Aboriginal and Torres Strait Islander peoples should be aware that this website may contain the names, images and voices of people who are now deceased.

References

For Media
Judicial Notice
Privacy
Accessibility
Procurement
Glossary
Schedules & Events

Report a Vulnerability
Scams
Public Interest Disclosure
Access to Information