能源-商品互换的交易对手风险评估：波动性和相关性的影响
Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation
摘要：
人们普遍认为，商品期货和远期价格原则上在一些简化的假设下是一致的。最相关的假设之一是不存在交易对手风险。事实上，由于保证金，期货几乎没有交易对手风险。相反，当与经纪人或外部清算所进行交易时，或者当嵌入互换等其他合约时，远期可能会承担交易对手违约的全部风险。在本文中，我们重点关注能源商品，特别是石油。我们使用一个混合商品信用模型来评估交易对手风险在定价公式中的影响，包括违约概率的总影响和信用利差波动、商品波动和信用商品相关性的微妙影响。我们用一个基于石油掉期的案例研究来说明我们的一般方法，表明交易对手风险的准确估值取决于波动率和相关性，并且不能通过预定义的乘数精确地解释。
英文摘要：
It is commonly accepted that Commodities futures and forward prices, in principle, agree under some simplifying assumptions. One of the most relevant assumptions is the absence of counterparty risk. Indeed, due to margining, futures have practically no counterparty risk. Forwards, instead, may bear the full risk of default for the counterparty when traded with brokers or outside clearing houses, or when embedded in other contracts such as swaps. In this paper we focus on energy commodities and on Oil in particular. We use a hybrid commodities-credit model to asses impact of counterparty risk in pricing formulas, both in the gross effect of default probabilities and on the subtler effects of credit spread volatility, commodities volatility and credit-commodities correlation. We illustrate our general approach with a case study based on an oil swap, showing that an accurate valuation of counterparty risk depends on volatilities and correlation and cannot be accounted for precisely through a pre-defined multiplier.
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