VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL

被引：26

作者：

Bielecki, T. R. ^{[1
]}

Crepey, S. ^{[2
]}

Jeanblanc, M. ^{[2
]}

Zargari, B. ^{[2
,3
]}

机构：

[1] IIT, Dept Appl Math, 10 W 32nd St, Chicago, IL 60616 USA

[2] Univ Evry, Lab Anal & Probabil, F-91037 Evry, France

[3] Sharif Univ Technol, Tehran, Iran

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2012年 / 15卷 / 01期

基金：

美国国家科学基金会;

关键词：

Counterparty credit risk; CDS; CVA; wrong-way risk; dynamic hedging;

D O I：

10.1142/S0219024911006498

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A Markov model is constructed for studying the counterparty risk in a CDS contract. The "wrong-way risk" in this model is accounted for by the possibility of the common default of the reference name and of the counterparty. A dynamic copula property as well as affine model specifications make pricing and calibration very efficient. We also consider the issue of dynamically hedging the CVA with a rolling CDS written on the counterparty. Numerical results are presented to show the adequacy of the behavior of CVA in the model with stylized features.

引用

页数：39

共 29 条

[1]

[Anonymous], 2002, ASIAPACIFIC FINANCIA

[2]

*BAS COMM BANK SUP, 2006, BANK INT SETTL

[3]

Basel Committee on Banking Supervision, 2005, APPL BAS 2 TRAD ACT

[4]

Bielecki Patras, 2011, CREDIT RISK FRONTIER

[5]

Bielecki T., 2008, J CREDIT RISK, V4, P47

[6]

Bielecki T.R., 2002, SPRINGER FINANCE

[7]

Bielecki T. R., 2011, FESTSCHRIFT IN PRESS

[8] PRICING AND TRADING CREDIT DEFAULT SWAPS IN A HAZARD PROCESS MODEL [J].

Bielecki, Tomasz R. ;

Jeanblanc, Monique ;

Rutkowski, Marek .

ANNALS OF APPLIED PROBABILITY, 2008, 18 (06) :2495-2529

[9]

Blanchet-Scalliet C., 2011, CREDIT RISK FRONTIER, P437

[10]

Brigo D., 2008, WORKING PAPER

← 1 2 3 →