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

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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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