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by KarolLebek
April 17th, 2024, 4:25 pm
Forum: General Forum
Topic: Wrong Way Risk in CCR Add-on framework
Replies: 0
Views: 2363

Wrong Way Risk in CCR Add-on framework

Hi All, I would like to ask about Wrong Way Risk inclusion in Potential Future Exposure (and CVA/DVA) calculation in Add-on framework. Specifically, I am trying to figure out WWR for Total Return Swap transactions with Bond as underlying. WWR in this case is due to correlation between Bond's issuer ...