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Modelling wrong way risk
Posted: October 20th, 2011, 9:09 pm
by abseck01
Does anyone know how to or have a simple model for measuring WWR in CVA? I started doing something simple but hit a roadblock. Thanks.
Modelling wrong way risk
Posted: October 21st, 2011, 10:45 am
by seventwooff
You would need to model the credit and multiple risk factors that affect the value....a large data set!!Sokol(2010) talks about looking at the correlation between credit risk and exposure for a counterparty which is less daunting.
Modelling wrong way risk
Posted: October 21st, 2011, 12:08 pm
by abseck01
I actually attended his webminar two days ago. didnt get much out of it, just chatter. I need implementation.