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摘要翻译：
《巴塞尔协议III》为CVA引入了新的资本费用。这些费用和巴塞尔2.5违约资本费用可以通过CDS减轻。因此，为了对CDS合约提供的资本减免进行定价，我们引入了一个包含三条腿的CDS定价模型：溢价；默认保护；和资本减免。如果市场是完整的，没有CDS债券基础，那么CDS可以通过在参考实体发行的风险浮动债券和一个无风险的银行账户中做空头寸来复制。如果这些条件不成立，那么从理论上讲，CDSs提供的资本减免可能会被定价。因此，当市场不完全时，我们的模型提供了CDS隐含风险率的界限。在简单的假设下，我们发现20%到50%以上的CDS利差可能是由资本减免定价的。考虑到IMM和非IMM银行的不同，我们会看到不同的定价吗？
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英文标题：
《CDS pricing under Basel III: capital relief and default protection》
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作者：
Chris Kenyon and Andrew Green
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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：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：
Basel III introduces new capital charges for CVA. These charges, and the Basel 2.5 default capital charge can be mitigated by CDS. Therefore, to price in the capital relief that CDS contracts provide, we introduce a CDS pricing model with three legs: premium; default protection; and capital relief. If markets are complete, with no CDS bond basis, then CDSs can be replicated by taking short positions in risky floating bonds issued by the reference entity and a riskless bank account. If these conditions do not hold, then it is theoretically possible that the capital relief that CDSs provide may be priced in. Thus our model provides bounds on the CDS-implied hazard rates when markets are incomplete. Under simple assumptions we show that 20% to over 50% of observed CDS spread could be due to priced in capital relief. Given that this is different for IMM and non-IMM banks will we see differential pricing?
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PDF链接：
https://arxiv.org/pdf/1211.5517
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