| Autor: |
BIELECKI, T. R., CRÉPEY, S., JEANBLANC, M., ZARGARI, B. |
| Předmět: |
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| Zdroj: |
International Journal of Theoretical & Applied Finance; Feb2012, Vol. 15 Issue 1, p1250004-1-1250004-39, 39p, 11 Charts, 7 Graphs |
| Abstrakt: |
A Markov model is constructed for studying the counterparty risk in a CDS contract. The "wrong-way risk" in this model is accounted for by the possibility of the common default of the reference name and of the counterparty. A dynamic copula property as well as affine model specifications make pricing and calibration very efficient. We also consider the issue of dynamically hedging the CVA with a rolling CDS written on the counterparty. Numerical results are presented to show the adequacy of the behavior of CVA in the model with stylized features. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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