Markus Hofer is a quantitative analyst at ING Bank in Amsterdam. He received his Msc in Financial and Insurnace Mathematics in 2009 and his PhD in Applied Mathematics in 2012, both from TU Graz. His main research focus was to enhance (Quasi) Monte Carlo methods for derivative pricing as well as copula models. After continuing his research in a post-doc year at TU Graz, he joined ING Bank to work on XVA modelling. His current research focus includes XVA modelling,, Monte Carlo techniques and financial data analysis.
The author of this paper presents a general and path-consistent wrong-way risk (WWR) model that does not require simulation of credit and market variables simultaneously.