CCAR for 2024 includes analysis of simultaneous defaults of five largest hedge fund clients
A model to assess the exposure to leveraged and collateralised counterparties is presented
Letter warns of cross-currency repo risks, but they didn’t feature in Archegos or LDI blow-ups
Counterparty risk experts agree with focus on “long-neglected” topic after family office default
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
MUFG quant thinks outside the box on risk management
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced
Brokers warn crypto market faces a reckoning with wrong-way risk as lenders rush to tighten terms
Credit Suisse losses show why boards require real risk management expertise, says ex-BoE supervisor
In this paper, we investigate the alpha factor’s sensitivity to key model parameters under stylized portfolio assumptions in order to better understand its complex characteristics. Our analysis is based on the numerical simulation of alpha sensitivities…
Creditworthiness of individual entities may offer an insight into systemic risk of financial markets
Derivatives pricing is approximated with a computationally efficient homotopy-based application that accounts for WWR
In this paper, we present an analytical expression for CVA with WWR under the assumption of the lognormally distributed trade value.
Quants discuss a better way to model wrong-way risk
Tsz-Kin Chung and Jon Gregory calibrate wrong-way risk with the help of quanto CDS values
This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.
This paper investigates wrong-way risk effects on the pricing of counterparty credit risk for interest rate instruments.
Researchers advise including correlations both with rate level and volatility in CVA calculations
A calculation of CVA integrating a commodity futures exposure with probability of an event under WWR and credit downgrades
This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).
Move will facilitate index arbitrage trades and put CDSClear one step ahead of rival Ice, note FCMs