Incremental default risk (IDR)

Definition:

Default risk incremental to what is calculated through the Value-at-risk model, which often does not adequately capture the risk associated with illiquid products.

Investing Essentials


Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University

Term of the Day

Forward forward contract

In Eurocurrencies, a contract under which a deposit of fixed maturity is agreed to at a fixed price for future delivery.

Subscribe to the Term of the Day via email Get the Term of the Day in your inbox!


Create your free portfolio