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.
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页数：39
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