Wrong-way Risk - Correlation Coefficient Calibration

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Wrong-way Risk - Correlation Coefficient Calibration

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Wrong-way Risk - Correlation Coefficient Calibration

Popis výsledku anglicky

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

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

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

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

Informační bulletin České statistické společnosti

ISSN

1804-8617

e-ISSN

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Svazek periodika

26

Číslo periodika v rámci svazku

1-2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

9

Strana od-do

1-9

Kód UT WoS článku

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EID výsledku v databázi Scopus

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