Leírás
In case of financial contracts involving future transactions, there is
a chance that one of the parties will fail to make its due payment.
The associated risk is known as counterparty credit risk. In the
simplest approximation the probability of default can be considered to
be independent of the exposure of the defaulting party. However, this
oversimplified model turns out to be insufficient in many real world
situations when the relation between the default probability and the
exposure leads to dramatic effect which cannot be neglected. In these
cases we need to handle the emerging wrong way or right way risk. I
will present the basic idea behind this effect and introduce various
models suggested, and used in practice to take this into account.