含多交易对手信用违约互换的信用风险模型

Counterparty Valuation Adjustment Calculation Model of Multi-counterparties Credit Default Swap

研究含多交易对手信用违约互换(CDS)产品的交易对手估值调整(CVA)计算模型,在约化模型的框架下,利用单因子(反)Cox-Ingersoll-Ross模型来刻画交易对手和参考公司的违约正(负)相关性,得到了一个由耦合的非线性偏微分方程组来表达交易对手估值调整计算模型,并用迭代的算法求解分析,同时比较了标准的交易对手估值调整的值.

A multi-counterparties credit default swap(CDS) was investigated.Under the reduced model framework,single factor cox-ingersoll-ross(CIR)and inversed CIR models were used to characterize positive and negative correlation of the default rates among the counterparties and reference.The counterparty valuation adjustment(CVA)calculation model was obtained,which was expressed by a system of coupled nonlinear partial differential equations.With this model,CVA was calculated by an iterative numerical algorithm.The results were analyzed correspondingly, which indicated the dependence on the parameters of the CVA,and a comparative study was made with the results of the standard single-name CDS.