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REF: 2021

Impact case study

Counterparty credit risk management at Barclays: estimating extreme quantiles

 

The new methodology has helped Barclays to meet regulator’s requirements and better manage and control our counterparty risk. [It] has helped Barclays to demonstrate quantitatively that we hold an adequate amount of capital to manage our counterparty credit risk.

Managing Director and Head of Cross Product Modelling

Barclays

Professor Qiwei Yao

Research by

Professor Qiwei Yao

Department of Statistics

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ÐÓ°ÉÂÛ̳ academics developed an innovative methodology for estimating counterparty credit risk used by Barclays to meet regulatory requirements a