Technical paper/Exposure modelling
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
Operational risk measurement beyond the loss distribution approach: an exposure-based methodology
In this paper, the authors present an alternative quantification technique, so-called exposure-based operational risk (EBOR) models, which aim to replace historical severity curves by measures of current exposures and use event frequencies based on…