摘要翻译:
我们引入了一个创新的理论框架,以套利自由原则为基础,对违约实体之间的衍生品交易进行建模。我们的框架扩展了传统的基于贷方和借方估值调整(CVA和DVA)的公式。根据默认偶发事件的处理方式,我们总共列出了十种不同的结构样式。这些结构包括银行和交易对手之间的两部分结构、另有一个保证金贷款人的三部分结构、两个保证金贷款人的四部分结构,以及最重要的是,所有衍生品交易都通过中央交易对手(CCP)清算的结构。我们在一系列标准下比较了各种结构风格,这些标准包括会计观点的一致性、交易对手风险对冲能力、数字复杂性、违约时交易的可移植性、诱导行为和隐含财富分配的宏观经济影响。
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英文标题:
《Restructuring Counterparty Credit Risk》
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作者:
Claudio Albanese, Damiano Brigo, Frank Oertel
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最新提交年份:
2012
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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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英文摘要:
We introduce an innovative theoretical framework to model derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on Credit and Debit Valuation Adjustments (CVA and DVA). Depending on how the default contingency is accounted for, we list a total of ten different structuring styles. These include bipartite structures between a bank and a counterparty, tri-partite structures with one margin lender in addition, quadri-partite structures with two margin lenders and, most importantly, configurations where all derivative transactions are cleared through a Central Counterparty (CCP). We compare the various structuring styles under a number of criteria including consistency from an accounting standpoint, counterparty risk hedgeability, numerical complexity, transaction portability upon default, induced behaviour and macro-economic impact of the implied wealth allocation.
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PDF链接:
https://arxiv.org/pdf/1112.1607