Counterparty risk - Exposure under systemic impact - Wrong-way risk (WWR) behaves differently for exposures to systemically important counterparties because their default has the potential to move financial markets before the close-out. The authors show how the traditional exposure simulation framework can be adapted to account for this systemic WWR. They illustrate how the model can be calibrated ...
| Year of publication: |
2013
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|---|---|
| Authors: | Pykhtin, Michael ; Sokol, Alexander |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 26.2013, 9, p. 88-93
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