Szirmai, Edina (Morgan Stanley)
Modeling wrong way and right way
counterparty credit risk
In case of financial contracts involving future transactions, there is a
chance that one of the parties will fail to make its due payment. The associated
risk is known as counterparty credit risk. In the simplest approximation
the probability of default can be considered to be independent of the exposure
of the defaulting party. However, this oversimplified model turns out to be
insufficient in many real world situations when the
relation between the default probability and the exposure leads to dramatic
effect which cannot be neglected. In these cases we
need to handle the emerging wrong way or right way risk. I will present the
basic idea behind this effect and introduce various models suggested, and used
in practice to take this into account.
The talk is held in English!
Az előadás angol nyelven lesz megtartva!
Date: Dec 5, Tuesday 4:15pm
Place: BME, Building „Q”, Room QBF13