A measure of comprehensive risk that is associated with positions that belong to a correlation trading portfolio (CTP). It replaces specific risk for such a portfolio and capture all risk factors pertaining to correlation trading positions such as tranched credit derivatives and nth-to-default derivatives, etc.
In other words, an all price risk (APR) is the potential loss in value, due to price risk and defaults, that arises in association with an entity’s credit correlation trading positions.
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