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 .


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.


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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    $\begingroup$ 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. $\endgroup$
    – SRKX
    Commented Sep 12, 2014 at 2:54
  • $\begingroup$ All of the member homepages of mathematics department at that university are currently broken - I think the link will be fixed at some point. $\endgroup$
    – Olorun
    Commented Sep 12, 2014 at 6:53

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