A Modern Approach to Counterparty Credit Risk
Posted: 15 February 2013 | Source: Numerix
Serguei Issakov, Global Head of Quantitative Research at Numerix , joins host and Numerix CMO Jim Jockle, to discuss his recent research on the modern approach to calculating counterparty risk, presented at the November 2012 RiskUSA conference and featured in two recent papers available on SSRN (vanillas and exotics).
Issakov discusses the modern approach to counterparty risk, known as the modeling approach, and contrasts how this new approach differs from the scenario approach traditionally applied in the market. He will also introduce the concept of algorithmic exposure, along with the operational risk benefits to payoff language.