Interest Rate Swap Credit Valuation Adjustment

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/61384399:31110/15:00047510

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Interest Rate Swap Credit Valuation Adjustment

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Interest Rate Swap Credit Valuation Adjustment

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Derivatives

ISSN

1074-1240

e-ISSN

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Svazek periodika

23

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

12

Strana od-do

24-35

Kód UT WoS článku

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EID výsledku v databázi Scopus

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