CVA wrong-way risk: calibration using a quanto CDS basis

Tsz-Kin Chung and Jon Gregory calibrate wrong-way risk with the help of quanto CDS values

CLICK HERE TO VIEW THE PDF

LISTEN TO THE RELATED QUANTCAST PODCAST HERE

Tsz-Kin Chung and Jon Gregory discuss the calibration of a wrong-way risk (WWR) model using information from the quanto credit default swap market. Empirical evidence shows that implied foreign exchange jump sizes are significant for a wide range of corporates. For systemic counterparties, the credit valuation adjustment WWR add-on could be 40% higher than in the standard case, and choosing a proper jump-at-default WWR

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: