کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5055529 1371492 2012 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest
چکیده انگلیسی

Price of a financial derivative with unilateral counterparty credit risk equals to the price of an otherwise risk-free derivative minus a credit value adjustment (CVA) component, which can be seen as a call option on investor's NPV with strike 0. Thus modeling volatility of NPV is the foundation for CVA valuation. This paper assumes that default times of counterparty and reference firm follow a special contagion model with stochastic pre-intensities that allows for explicit formulas for default probabilities. Stochastic interest rate is also incorporated to account for positive correlation between pre-intensity and interest. Survival measure approach is employed to calculate NPV of a risk-free CDS, and semi-analytical solution for CVA is obtained through affine specifications. Numerical analysis shows that contagion has more significant impact on CVA than diffusion of pre-intensities, and the positive correlation between interest and reference firm's pre-intensity has monotonic decreasing impact on CVA.

► We model default dependence by contagion model with stochastic pre-intensities. ► We solve the contagion model via survival measure approach. ► We model correlations between pre-intensities and interest by affine specification. ► Semi-analytical formula for CVA of CDS is obtained in our model. ► Contagion has more impact than diffusion of pre-intensities on CVA.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 29, Issue 2, March 2012, Pages 471-477
نویسندگان
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