A Modern Approach to Counterparty Credit Risk

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a RiskTech Forum account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: