Counterparty credit risk management:estimating extreme quantiles for a bank
Yao, Qiwei
(2022)
Counterparty credit risk management:estimating extreme quantiles for a bank.
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(2022)
Counterparty credit risk management:estimating extreme quantiles for a bank.
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Counterparty credit risk (CCR) is a complex risk to assess and banks lacked scientifically robust methods for calculating their level of potential exposure. Qiwei Yao, together with his collaborators, developed an innovative methodology for estimating counterparty credit risk, which can help banks meet regulatory requirements and calculate appropriate capital reserves.
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