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Model of counterparty risk with geometric attenuation and valuation of CDS

Journal of Southeast University(English Edition) 2008年第S1期24卷 196-198页

作者： Bai Yunfen1,2 Hu Xinhua3,4 Ye Zhongxing1(1 Department of Mathematics, Shanghai Jiaotong University, Shanghai 200240, China)(2 Department of Mathematics, Shijiazhuang College, Shijiazhuang 050035, China)(3 Guanghua Institute of Management, Peking University, Beijing 100032, China)(4 Postdoctoral Workstation of ICBC, Beijing 100036, China)

To investigate the impact of microstructure interdependency of a counterparty explicitly, a geometric function is introduced in one firm's default intensity to reflect the attenuation behavior of the impact of its counterparty firm's default. The general joint distribution and marginal distributions of default times are derived by employing the change of measure. The fair premium of a vanilla CDS (credit default swap) is obtained in continuous and discrete contexts, respectively. The swap premium in a discrete context is similar to the accumulated interest during the period between two payment days, and the short rate is the swap rate in a continuous context.

关键词： counterparty risk dependent default attenuation function change of measure credit default swap

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PRICING CATASTROPHE OPTIONS WITH counterparty CREDIT risk IN A REDUCED FORM MODEL

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Acta Mathematica Scientia 2018年第1期38卷 347-360页

作者：徐亚娟王过京 The Center for Financial Engineering and Department of Mathematics Soochow University School of Mathematics and Physics Suzhou Vocational University

In this paper, we study the price of catastrophe Options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price process is modeled through a jump-diffusion process which is correlated to the loss process, the interest rate process and the default intensity process are modeled through the Vasicek model： We derive the closed form formulae for pricing catastrophe options in a reduced form model. Furthermore, we make some numerical analysis on the explicit formulae.

关键词： pricing catastrophe option counterparty risk measure change reduced form model

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Credit, funding, margin, and capital valuation adjustments for bilateral portfolios

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Probability, Uncertainty and Quantitative risk 2017年第1期2卷 145-170页

作者： Claudio Albanese Simone Caenazzo Stephane´Crepey IMEX LondonUK CASS School of Business LondonUK LaMME Univ EvryCNRSUniversite Paris-Saclay91037EvryFrance

We apply to the concrete setup of a bank engaged into bilateral trade portfolios the XVA theoretical framework of Albanese and Crepey(2017),whereby´so-called contra-liabilities and cost of capital are charged by the bank to its clients,on top of the fair valuation of counterparty risk,in order to account for the incompleteness of this *** transfer of the residual reserve credit capital from shareholders to creditors at bank default results in a unilateral CVA,consistent with the regulatory requirement that capital should not diminish as an effect of the sole deterioration of the bank credit *** funding cost for variation margin(FVA)is defined asymmetrically since there is no benefit in holding excess capital in the *** is fungible as a source of funding for variation margin,causing a material FVA *** introduce a specialist initial margin lending scheme that drastically reduces the funding cost for initial margin(MVA).Our capital valuation adjustment(KVA)is defined as a risk premium,*** cost of remunerating shareholder capital at risk at some hurdle rate.

关键词： counterparty risk Credit valuation adjustment(CVA) Cost of funding variation margin(FVA) Cost of funding initial margin(MVA) Cost of capital(KVA)

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