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Counterparty risk

This is a short simulation can be run to enhance a session on managing counterparty risk.  A number of trades are set up between participants who are working in teams.  Some of the trades are subject to ISDA master agreements and will be fully collateralised, others are uncollateralised.

Each round the trades are marked to market, collateral is calculated and exchanged.

The winning team is the one that makes the most profitable trades, however, teams must be cautious of trading with another team who might go bust!