Counterparty credit risk management: estimating extreme quantiles for a bank

Yao, Qiwei ORCID: 0000-0003-2065-8486 (2022) Counterparty credit risk management: estimating extreme quantiles for a bank. LSE Business Review (12 May 2022). Blog Entry.

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Abstract

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.

Item Type:	Online resource (Blog Entry)
Official URL:	https://blogs.lse.ac.uk/businessreview/
Additional Information:	© 2022 The Author
Divisions:	Statistics
Subjects:	H Social Sciences > HG Finance H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Date Deposited:	06 Sep 2022 09:42
Last Modified:	01 Oct 2024 03:14
URI:	http://eprints.lse.ac.uk/id/eprint/116220

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