Dissociation of CDS from CVA Valuation under Notation Changes

Autor: R. Henry, J-B. Paulin, St. Fauchille, Ph. Delord, K. Benkirane, A. Brunel
Jazyk: angličtina
Rok vydání: 2014
Předmět:
DOI: 10.5281/zenodo.1097497
Popis: In this paper the CVA computation of interest rate swap is presented based on its rating. Rating and probability default given by Moody’s Investors Service are used to calculate our CVA for a specific swap with different maturities. With this computation the influence of rating variation can be shown on CVA. Application is made to the analysis of Greek CDS variation during the period of Greek crisis between 2008 and 2011. The main point is the determination of correlation between the fluctuation of Greek CDS cumulative value and the variation of swap CVA due to change of rating.
{"references":["Ph. Jorion : Value at Risk: The New Benchmark for Managing Financial\nRisk ,3rd ed., McGraw-Hill, 2006; K. Dowd : Measuring Market Risk,J.\nWiley and Sons, 2005; Strong criticism against VaR is developed in J.\nNocera : Risk Mismanagement, The New York Times Magazine, Jan. 4,\n2009","J. Gregory: Counterparty Credit Risk: The New Challenge for Global\nFinancial Markets, BCBS, the Basel Committee Response to the\nFinancial Crisis: report to the G20, October 2010","B.W.B. Reynolds, B. Sabel, H. Letréguilly, T. Croff, W.M. Carli, Th.\nDonegan, C. Law, A. Ali, K. Stehl, J. Campbell, D.N. Lamson : Basel\nIII Framework: The Credit Valuation Adjustment (CVA) Charge For\nOTC Derivative Trades,Shearman & Sterling LLP, Nov. 27, 2013","S.H. Zhu, M. Pykhtin :, a Guide to Modeling Counterparty Credit Risk,\nGARP Risk Review, July/August 2007.","The U.S. Municipal Bond Rating Scale: Mapping to the Global Rating\nScale and Assigning Global Scale Ratings to Municipal Obligations\nProduct of Moody's Public Finance Credit Committee 1. March 2007","A. Suarez: Monte Carlo Methods in Finance,\nhttps://iversity.org/my/courses/monte-carlo-methods-in-finance/\nlesson_units","E.H. Sorensen, Th.F. Bollier : Pricing Swap Default Risk, Financial\nAnalysts Journal, Vol.50(3), pp.23-33, May/June 1994","D. Akume, B. Luderer, G.-W. Weber : Pricing and Hedging of\nSwaptions, Tom 8, Number 14, 2003","J. Gregory: Counterparty Credit Risk: The New Challenge for Global\nFinancial Markets, Sept. 2011, pp. 174, 196, 214\n[10] Moody's Standing Committee on Rating Systems & Practices, Moody's\nRating Symbols & Definitions, June 2009\n[11] AIMA Research Note, The European Sovereign CDS Market, August\n2011\n[12] J.C. Hull : Options, Futures, and other Derivatives, 8th edition, chap.\n24, , 2012\n[13] Bloomberg/Harowitz& Company : Portugal, Italy, Greece & Spain\n(PIGS) Credit Default Swaps,"]}
Databáze: OpenAIRE
Externí odkaz: