基于随机动态模型的双边交易对手风险评估 信用违约互换的应用

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摘要翻译：
我们引入了一般的无套利估值框架，用于在存在双边违约风险（包括投资者违约）的情况下对交易对手风险进行调整。我们说明了估值的对称性，并表明调整包括看跌期权的多头头寸和看涨期权的空头头寸，两者都是零行权，并写在相关违约时间的合约剩余净值上。我们考虑到投资者、交易对手和基础投资组合风险因素的违约时间之间的相关性。我们使用无套利随机动力学模型。然后，我们将信用违约掉期(CDS)作为基础投资组合进行专门分析，概括了Brigo和Chourdakis(2008)[5]处理单边和非对称交易对手风险的工作。我们引入随机强度模型和一个关于违约次数指数变量的三元copula函数来建立违约依赖模型。与[5]类似，我们发现违约相关性和信用利差波动对调整具有相关性和结构性影响。与[5]不同的是，双方现在将就信用估值调整达成一致。我们研究了一个涉及英国航空公司、雷曼兄弟公司和荷兰皇家壳牌公司的案例，说明了在具体的危机情况下双边调整。
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英文标题：
《Bilateral counterparty risk valuation with stochastic dynamical models
  and application to Credit Default Swaps》
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作者：
Damiano Brigo and Agostino Capponi
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最新提交年份：
2009
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分类信息：

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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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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英文摘要：
  We introduce the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk, including default of the investor. We illustrate the symmetry in the valuation and show that the adjustment involves a long position in a put option plus a short position in a call option, both with zero strike and written on the residual net value of the contract at the relevant default times. We allow for correlation between the default times of the investor, counterparty and underlying portfolio risk factors. We use arbitrage-free stochastic dynamical models. We then specialize our analysis to Credit Default Swaps (CDS) as underlying portfolio, generalizing the work of Brigo and Chourdakis (2008) [5] who deal with unilateral and asymmetric counterparty risk. We introduce stochastic intensity models and a trivariate copula function on the default times exponential variables to model default dependence. Similarly to [5], we find that both default correlation and credit spread volatilities have a relevant and structured impact on the adjustment. Differently from [5], the two parties will now agree on the credit valuation adjustment. We study a case involving British Airways, Lehman Brothers and Royal Dutch Shell, illustrating the bilateral adjustments in concrete crisis situations.
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PDF链接：
https://arxiv.org/pdf/0812.3705

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关键词：信用违约互换 动态模型 风险评估 counterparty Quantitative 套利 进行 估值 stochastic Credit