Wrong-way Risk - Correlation Coefficient Calibration
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10313787" target="_blank" >RIV/00216208:11320/15:10313787 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.5300/IB" target="_blank" >http://dx.doi.org/10.5300/IB</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.5300/IB" target="_blank" >10.5300/IB</a>
Alternative languages
Result language
angličtina
Original language name
Wrong-way Risk - Correlation Coefficient Calibration
Original language description
Under the new Basel III banking regulation banks should include wrong-way risk (WWR) into the calculation of the credit valuation adjustment (CVA) of the OTC derivatives. WWR takes place when the exposure to a counterparty is adversely correlated with the credit quality of that counterparty. Assuming a link between the interest rate swap (IRS), i.e. financial derivative in which two counterparties repeatedly exchange cash flows based on interest rate value and that the default time is represented by a Gaussian copula with a constant correlation coefficient, the WWR is expressed by this correlation coefficient. Because the observation of the default time means bankruptcy of the company, the correlation cannot be simply estimated using the observed datain contrast to the credit default swap (CDS) rate which is related to the intensity of default. Based on available daily Czech Republic government IRS and CDS rates we estimated the correlation using maximum likelihood method assuming tha
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
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
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
Informační bulletin České statistické společnosti
ISSN
1804-8617
e-ISSN
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Volume of the periodical
26
Issue of the periodical within the volume
1-2
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
9
Pages from-to
1-9
UT code for WoS article
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EID of the result in the Scopus database
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