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Financial Analysts Journal Volume 71, 2015 - Issue 2
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Risk Management

Optimal Right- and Wrong-Way Risk from a Practitioner Standpoint

Ignacio Ruiz Ignacio Ruiz is founding director of iRuiz Consulting, London.
,
Piero Del Boca Piero Del Boca is a counterparty risk analyst at Credit Suisse, London.
&
Ricardo Pachón Ricardo Pachón is a CVA risk manager at Credit Suisse, London.
Pages 47-60 | Published online: 28 Dec 2018

References

  • Bank for International Settlements. 2006. “Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework—Comprehensive Version.” (June): www.bis.org/publ/bcbs128.htm.
  • Bank for International Settlements. 2011. “Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems.” (June): www.bis.org/publ/bcbs189.htm.
  • Cesari, G., J. Aquilina, N. Charpillon, Z. Filipovic, G. Lee, and I. Manda. 2009. Modelling, Pricing, and Hedging Counterparty Exposure. London: Springer.
  • Cespedes, J.C.G., J.A. de Juan Herrero, D. Rosen, and D. Saunders. 2010. “Effective Modeling of Wrong Way Risk, Counterparty Credit Risk Capital, and Alpha in Basel II.” Journal of Risk Model Validation, vol. 4, no. 1 (Spring): 71–98.
  • Hull, J., and A. White. 2012. “CVA and Wrong-Way Risk.” Financial Analysts Journal, vol. 68, no. 5 (September/October): 58–69.
  • Iacono, F.. 2011. “Quantifying Right-Way and Wrong-Way Risk: A Simple Approach to Measuring CVA When Replacement Value and Counterparty Default Are Correlated.” Riverside Risk Advisors LLC, working paper (31 January).
  • Rosen, D., and D. Saunders. 2012. “Wrong-Way Risk Applications for CVA, CVA Capital and Basel III.” Journal of Risk Management in Financial Institutions, vol. 5, no. 3: 252–272.
  • Ruiz, I.. 2012. “Technical Note: On Wrong Way Risk.” (February): http://iruizconsulting.com/publications/.
  • Turlakov, M.. 2013. “Wrong-Way Risk, Credit, and Funding.” Risk Magazine (12 July).

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