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

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