标题： 信用和融资估值调整中的错误方向风险 显示英文标题

标题： Wrong-way risk in credit and funding valuation adjustments

摘要： 在交易对手和融资敞口中的错误方向风险在系统性危机和尾部事件情况下最为显著。 在这里，开发了一个一致的错误方向风险（WWR）模型，通过将尾部事件的概率加权加入到信用估值调整和融资估值调整（CVA和FVA）的计算中。 这个新的实用模型量化了衍生品CVA和FVA定价中的尾部风险，并不依赖于许多模型中常用的线性相关性的有限概念。 该模型的应用通过主权违约情况下最常见的利率和外汇衍生品中出现的WWR实际例子进行了说明。 显示英文摘要

摘要： Wrong-way risk in counterparty and funding exposures is most dramatic in the situations of systemic crises and tails events. A consistent model of wrong-way risk (WWR) is developed here with the probability-weighted addition of tail events to the calculation of credit valuation and funding valuation adjustments (CVA and FVA). This new practical model quantifies the tail risks in the pricing of CVA and FVA of derivatives and does not rely on a limited concept of linear correlation frequently used in many models. The application of the model is illustrated with practical examples of WWR arising in the case of a sovereign default for the most common interest-rate and foreign exchange derivatives.