摘要翻译：
在系统性危机和尾随事件的情况下，交易对手和资金暴露中的错误方式风险最为显著。本文提出了一个一致的错误方式风险模型(WWR)，在计算信用估值和融资估值调整（CVA和FVA）时加入了概率加权尾部事件。这种新的实用模型量化了衍生工具CVA和FVA定价中的尾部风险，并且不依赖于许多模型中经常使用的有限的线性相关概念。最后以最常见的利率和外汇衍生产品主权违约情况下产生的WWR为例，说明了模型的应用。
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英文标题：
《Wrong-way risk in credit and funding valuation adjustments》
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作者：
Mihail Turlakov
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  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.
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PDF链接：
https://arxiv.org/pdf/1208.5382