Portfolio credit risk - Multi-factor adjustment - The author presents an analytical method for calculating portfolio value-at-risk and expected shortfall in the multifactor Merton framework. This method is essentially an extension of the granularity adjustment technique to a new dimension

Counterparty credit risk modelling : risk management, pricing and regulation

Pykhtin, Michael, (2005)

Pricing counterparty risk at the trade level and CVA allocations

Pykhtin, Michael, (2010)

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 ...

Pykhtin, Michael, (2013)