In this article, we discuss the calibration of wrong way risk (WWR) model by using information from the credit default swap (CDS) market. A Quanto CDS provides credit protection against the default of a reference entity but is denominated in a non-domestic currency. The payoff of a Quanto CDS...

The growth of the structured credit market gave rise to many complex collateralised debt obligation (CDO) structures and, prior to the beginning of the global financial crisis in 2007, the CDO was seen as a successful financial innovation. However, CDOs have since been blamed for partly causing...