Wrong way risk put option. risk' if future exposure to a specific counterparty is highly correlated with the counterparty's probability of default. For example, a company writing put options on its own stock creates wrong way exposures for the buyer that is specific to the counterparty”. Risk Management Consultants. Specific Wrong-way Risk. InteDelta.

Wrong way risk put option

How Do you Manage Option Selling Risk? (Crucial First Step)

Wrong way risk put option. So, our exposure to this put option can be much higher than that given by a model which does not take this dependency into account. The opposite effect (i.e., when the exposure is likely to decrease in the event of counter- party default) also exists, and it is typically called Right Way Risk (RWR). From a risk management.

Wrong way risk put option


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