What Are the Standard Approaches for Wrong Way Risk?

Last year you introduced climate change valuation adjustment. It was a framework that would account for physical and transition risk so both big aspects of related to climate change. Could you explain the concept of CVA and what you found in that paper? So the observation started again by looking at data and seeing that the liquid CDS market at best trades only out to 10 years although most of the liquidity is at the five year point. And then after changing the definition to reflect what you can actually do we saw that this actually reveals the term structure of the wrong way risk correlation. Now if your CVA is on proxy curves then you're not hedging counter-party default at all you're hedging credit