[量化金融] 完成CVA和流动性：企业层面的头寸和担保 行业 [推广有奖]

摘要翻译：
目前实施的双边CVA具有反直觉的效果，即从扩大CDS利差中获利，即在实践中增加违约风险。Morini&Prampolini2010年提出的CVA和流动性的统一图像有助于理解这一点。然而，实际执行中有两个来自同一来源的重大遗漏，即在通常的职位保持系统中没有记录的职位。第一个遗漏是在公司违约时改变价值的公司一级头寸。商誉是一个例子，它是资产负债表上的一个细列项目，通常在违约时减记为零。另一个例子是公司股权。第二项遗漏涉及抵押头寸。当这些头寸在未来没有钱时，这有一个积极的可能性，他们将需要资金，不能使用头寸本身。这些或有的未来供资头寸通常不记入任何头寸保持系统。我们在这里展示如何包括这两种类型的头寸，从而帮助完成CVA和流动性的统一图像。对于一家从利差扩大中获利25亿美元的大型复杂金融机构，我们表明，在保守假设下，包括商誉将导致4亿美元的损失。虽然我们不能对其抵押衍生品投资组合进行类似的评估，但我们计算了一系列掉期的融资成本和自身违约的CVA，并发现CVA在示例中是一个积极的贡献。
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英文标题：
《Completing CVA and Liquidity: Firm-Level Positions and Collateralized
  Trades》
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作者：
Chris Kenyon
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  Bilateral CVA as currently implement has the counterintuitive effect of profiting from one's own widening CDS spreads, i.e. increased risk of default, in practice. The unified picture of CVA and liquidity introduced by Morini & Prampolini 2010 has contributed to understanding this. However, there are two significant omissions for practical implementation that come from the same source, i.e. positions not booked in usual position-keeping systems. The first omission is firm-level positions that change value upon firm default. An example is Goodwill which is a line item on balance sheets and typically written down to zero on default. Another example would be firm Equity. The second omission relates to collateralized positions. When these positions are out of the money in future, which has a positive probability, they will require funding that cannot be secured using the position itself. These contingent future funding positions are usually not booked in any position-keeping system. We show here how to include these two types of positions and thus help to complete the unified picture of CVA and liquidity.   For a particular large complex financial institution that profited $2.5B from spread widening we show that including Goodwill would have resulted in a $4B loss under conservative assumptions. Whilst we cannot make a similar assessment for its collateralized derivative portfolio we calculate both the funding costs and the CVA from own default for a range of swaps and find that CVA was a positive contribution in the examples.
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PDF链接：
https://arxiv.org/pdf/1009.3361