Counterparty credit risk management: estimating extreme quantiles for a bank
Yao, Q.
(12 May 2022)
Counterparty credit risk management: estimating extreme quantiles for a bank.
LSE Business Review.
(12 May 2022)
Counterparty credit risk management: estimating extreme quantiles for a bank.
LSE Business Review.
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.