wrong-way-risk

Learning Objectives: Identify examples of wrong-way collateral. Describe the various wrong-way modeling methods, including hazard rate approaches, structural approaches, parametric approaches, and jump approaches. Explain the implications of central clearing on wrong-way risk. Questions...

Learning objectives: Describe wrong-way risk and contrast it with right-way risk. Identify examples of wrong-way risk and examples of right-way risk. Discuss the impact of collateral on wrong-way risk. Discuss the impact of wrong-way risk on central counterparties. Questions: 917.1. Among its...

Learning objectives: Explain the motivation for and the challenges of pricing counterparty risk. Describe credit value adjustment (CVA). Calculate CVA and the CVA spread with no wrong-way risk, netting, or collateralization. Questions: 914.1. Your colleague has drafted guidance for your firm's...

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