Modeling Wrong Way Risk in CVA
Please join us for a webinar where the MSCI research group will explain how to calculate Credit Value Adjustment (CVA) by taking into account Wrong Way Risk, i.e. the adverse correlation between the counterparty exposure and the counterparty default.
The research team will also share a case study outlining the result you may expect to achieve using the methodology.
Agenda Topics Include
- Definition and practical examples of Wrong Way Risk
- Explanation of proposed and implemented modeling approach
- Results of proposed approach
Video - Client Only »