Wrong-Way Risk Part II
In our first whitepaper [found on http://risktech-forum.com/research/wrong-way-risk], we outlined a pragmatic approach to the detection of wrong-way risk situations, combining a numerical analysis of portfolio sensitivities with a judgement-based assessment of counterparties’ business risk sensitivities. In this second paper we extend this argument to demonstrate how credit exposure profiles could be adjusted to reflect elements of wrong-way risk.
Furthermore, we examine whether exposures
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