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I want to learn about the latest methods used to measure credit risk, which I believe is same as counterparty risk. Can you please direct me some links for this. I have come across a few of them but each of them seems to be talking a different way to measure counterparty risk. eg basel-3 .

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2 Answers 2

I don't know a tutorial on the Internet but I have a book on the topic that I think you could be interested in:

Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets

The book is a non-mathematical introduction to counter-party credit risk. It introduces concepts such as wrong-way risk, netting, potential-future exposure etc. Please give a try.

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Good lecture on credit risk here.

For more recent and advanced tools you should read books and articles from: Brigo, Rebonato, Pykhtin.

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Your link is dead, and I'm not sure you had the right to share this anyway. However, you can include links to the books and articles you mention. –  SRKX Sep 12 at 2:54
    
All of the member homepages of mathematics department at that university are currently broken - I think the link will be fixed at some point. –  Olorun Sep 12 at 6:53

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