Counterparty credit risk in a multivariate structural model with jumps

Gianluca FUSAI; Laura Ballotta

Counterparty credit risk in a multivariate structural model with jumps

Dipartimento di Studi per l'Economia e l'Impresa

Risultato della ricerca: Contributo su rivista › Articolo in rivista › peer review

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

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Counterparty credit risk in a multivariate structural model with jumps

Abstract

Keywords

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