Interest Rate Swap Credit Valuation Adjustment
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10313785" target="_blank" >RIV/00216208:11320/15:10313785 - isvavai.cz</a>
Alternative codes found
RIV/61384399:31110/15:00047510
Result on the web
<a href="http://dx.doi.org/10.3905/jod.2015.23.2.024" target="_blank" >http://dx.doi.org/10.3905/jod.2015.23.2.024</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3905/jod.2015.23.2.024" target="_blank" >10.3905/jod.2015.23.2.024</a>
Alternative languages
Result language
angličtina
Original language name
Interest Rate Swap Credit Valuation Adjustment
Original language description
The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital requirements and current accounting rules. Its calculation is not an easy task - not only it is necessary to model the future value of thederivative, but also the probability of the default of a counterparty. Another complication in the calculation arises when the exposure to a counterparty is adversely, or favourably, correlated with the credit quality of that counterparty, i.e., when itis necessary to incorporate wrong-way, or right-way, risk. A semi-analytical CVA formula simplifying interest rate swap (IRS) valuation with the counterparty credit risk including the wrong-way risk is derived and analyzed in the paper. The formula is based on the fact that the CVA of an IRS can be expressed using swaption prices. The link between the interest rates and the default time is represented by a Gaussian copula with a constant correlation coefficient. Finally, the results of t
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Derivatives
ISSN
1074-1240
e-ISSN
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Volume of the periodical
23
Issue of the periodical within the volume
2
Country of publishing house
US - UNITED STATES
Number of pages
12
Pages from-to
24-35
UT code for WoS article
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EID of the result in the Scopus database
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