Markus Hofer is a Quantitative Analyst in Financial Markets at Bayerische Landesbank (BayernLB) in Munich. Prior to moving to Munich he worked several years as a front office quant at ING Bank in Amsterdam. He has extensive experience on a wide selection of financial products, including interest rate, commodity, credit, inflation and foreign exchange derivatives, and has published a number of scientific articles on XVA Modelling and Numerical Methods for Derivative Pricing. He holds a PhD in Applied Mathematics from Graz University of Technology on the subject of Monte Carlo Simulation in Derivative Pricing and Dependence Modelling.
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.