Technical paper/Risk management
Hedge backtesting for model validation
Hedge backtesting for model validation
Exposure under systemic impact
Wrong-way risk (WWR) behaves differently for exposures to systemically important counterparties because their default has the potential to move financial markets before the close-out. Michael Pykhtin and Alexander Sokol show how the traditional exposure…
Exposure under systemic impact
Exposure under systemic impact
Longevity risk under Solvency II
Longevity risk under Solvency II
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution, and…