Abstract
We present a multivariate version of a structural default model with jumps and use it in order to quantify the bilateral credit value adjustment and the bilateral debt value adjustment for equity contracts, such as forwards, in a Merton-type default setting. In particular, we explore the impact of changing correlation between names on these adjustments and study the effect of wrong-way and right-way risk.
| Lingua originale | Inglese |
|---|---|
| pagine (da-a) | 39-74 |
| Numero di pagine | 36 |
| Rivista | Finance |
| Volume | 36 |
| Numero di pubblicazione | 1 |
| Stato di pubblicazione | Pubblicato - 1 gen 2015 |
Keywords
- credit value adjustment
- jump model
- wrong way risk