Michael Pykhtin and Steven Zhu offer a blueprint for modelling credit exposure and pricing counter-party risk. They focus on two main issues: modelling credit.

• Part of the book series (AQF) Abstract In Part 2, we have discussed the validation of models for credit risk by looking at the three components of the regulatory formula for risk-weighted assets: probability of default, loss given default and exposure at default. Telecharger ulead photo express 3.0 gratuit. In this chapter we turn to a type of credit risk that has become extremely important in the wake of the 2008 financial crisis and the numerous and unexpected downgrades of counterparties (including the largest investment banks) which generated large migration losses in derivative trading books. Consequently, counterparty credit risk proved to be relevant not only for the trading activities of financial institutions, but also, in light of the many interconnections amongst them, for the stability of the financial system as a whole.