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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

  • Czech description

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

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

  • 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

  • EID of the result in the Scopus database