Jumping with default: wrong-way risk modelling for CVA

Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk

cogs-and-currency

Credit valuation adjustment (CVA) is widely recognised as one of the most important credit risk measures by industry practitioners and regulators. Traditional CVA calculations were – and to a great extent still are – based on an assumption of independence between default and market risk factors. However, there has been a growing consensus that wrong-way risk (WWR) should also be taken into account.WWR is defined as the event that occurs when exposure to a counterparty is adversely correlated

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: