With new regulations like the credit valuation adjustment (CVA) the assessment of wrong-way-risk (WWR) is of utter importance. We analyze the effect of a counterparty's credit risk and its influence on other asset classes (equity, currency, commodity and interest rate) in the event of extreme...

An exact estimation of the true correlation matrix is highly desirable in many applications. In practice there will always be an estimation error which, however, can be not only minimized using the shrinking approach but also an invertible correlation matrix can be calculated when there are...