A note on CVA and wrong way risk
| Autor: | Paolo Pellicioli, Roberto Baviera, Gaetano La Bua |
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| Rok vydání: | 2016 |
| Předmět: | |
| Zdroj: | International Journal of Financial Engineering. :1650012 |
| ISSN: | 2424-7944 2424-7863 |
| Popis: | Hull White approach to Wrong Way Risk in the computation of the Credit Value Adjustment is considered the most straightforward generalization of the standard Basel approach. The model is financially intuitive and it can be implemented by a slight modification of existing algorithms for CVA calculation.However, path dependency in the key quantities has non elementary consequences in the calibration of some model parameters. In this note we discuss in detail the implications of this path dependency and propose a simple and fast approach for computing these quantities via a recursion formula. We show calibration methodology on real market data and CVA computations in two relevant cases: a FX forward and an interest rate swap. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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