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...

Monoline insurers act as triple-A guarantors of the rather senior risks in structured finance. The purchaser of credit insurance or protection from a monoline may argue that they take only a small amount of counterparty risk which is a common side-effect of trading OTC derivatives products....