Name: Finance and Economics Discussion Series: Pricing Counterparty Risk at the Trade Level and Cva Allocations (en Inglés)
Price: 99.58 PEN
Availability: InStock
Author: Pykhtin, Michael ; Rosen, Dan ; United States Federal Reserve Board
ISBN: 9781288704569

portada Finance and Economics Discussion Series: Pricing Counterparty Risk at the Trade Level and Cva Allocations (en Inglés)

Formato

Libro Físico

Autor

United States Federal Reserve Board

Michael Pykhtin

Dan Rosen

Editorial

Bibliogov

Idioma

Inglés

N° páginas

Encuadernación

Tapa Blanda

Dimensiones

24.6 x 18.9 x 0.3 cm

Peso

0.11 kg.

ISBN13

9781288704569

Categorías

Política y gobierno

Finance and Economics Discussion Series: Pricing Counterparty Risk at the Trade Level and Cva Allocations (en Inglés)

United States Federal Reserve Board (Autor) · Michael Pykhtin (Autor) · Dan Rosen (Autor) · Bibliogov · Tapa Blanda

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Reseña del libro "Finance and Economics Discussion Series: Pricing Counterparty Risk at the Trade Level and Cva Allocations (en Inglés)"

We address the problem of allocating the counterparty-level credit valuation adjustment (CVA) to the individual trades composing the portfolio. We show that this problem can be reduced to calculating contributions of the trades to the counterparty-level expected exposure (EE) conditional on the counterparty's default. We propose a methodology for calculating conditional EE contributions for both collateralized and non-collateralized counterparties. Calculation of EE contributions can be easily incorporated into exposure simulation processes that already exist in a financial institution. We also derive closed-form expressions for EE contributions under the assumption that trade values are normally distributed. Analytical results are obtained for the case when the trade values and the counterparty's credit quality are independent as well as when there is a dependence between them (wrong-way risk).