کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088736 | 1478323 | 2015 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Counterparty risk for CDS: Default clustering effects
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We derive a closed-form expression for the bilateral credit valuation adjustment of a credit default swap in presence of simultaneous defaults. We develop our analysis under a default intensity model specified by a class of three-dimensional subordinators, allowing for default dependence through common risk factors. We performance a suitable decomposition of the bilateral price into debit and credit valuation adjustment components. Those components do not have a symmetric impact on the price because of the joint event occurrences. Our analysis indicates that simultaneous defaults have material impact on the size and directionality of the adjustments. Our findings suggest policymakers to consider default clustering when designing counterparty valuation procedures, especially during periods of financial distress.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 52, March 2015, Pages 29-42
Journal: Journal of Banking & Finance - Volume 52, March 2015, Pages 29-42
نویسندگان
Lijun Bo, Agostino Capponi,