Counterparty Risk

A Multiplex Network Hawkes Model for Systemic Risk Measurement

Multiplex Network Hawkes model for systemic-risk measurement in CDS networks.

Bayesian Backtesting for Counterparty Risk Models

In this article we introduce a new framework for counterparty risk model backtesting based on Bayesian methods. This provides a conceptually sound approach for analyzing model performance which is also straightforward to implement. We show that our …