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CIRS counterparty risk
Hi,I wonder about the difference in counterparty risk interpretation between considering a CIRS (roller coaster, with period principal exchange) as it is, or as a combination of few independent FX Forward contracts?Shouldn't estimation of the risk with AddOn methodology to a CIRS contract give less risk then to a few, independent FX Forwards?Of course the payoff of CIRS contract can be replicated by FX Forwards, but I think, that counterparty risk in CIRS contract should be smaller than in those Forwards (estimated with AddOn methodology). Am I right?