CDS合约中的交易对手风险和抵押品的影响
Counterparty Risk and the Impact of Collateralization in CDS Contracts
摘要：
我们分析了双边保证金协议下CDS合约中的交易对手风险。首先，我们研究了抵押交易对手风险的定价，推导出了双边信用估值调整（CVA）、单边信用估值调整（UCVA）和债务估值调整（DVA）。我们提出了一个模型的抵押品，包括所有相关的因素，如阈值，理发和保证金期限的风险。我们得到了双边CVA的动力学的一般形式与相关的跳鞅。我们还介绍了点差价值调整（SVA），表明交易对手风险调整后的点差。交易对手风险和无交易对手风险的价差动态推导和动态的SVA的结果。最后，我们采用马尔可夫copula模型的违约强度，并说明我们的研究结果与数值结果。
英文摘要：
We analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. First, we investigate the pricing of collateralized counterparty risk and we derive the bilateral Credit Valuation Adjustment (CVA), unilateral Credit Valuation Adjustment (UCVA) and Debt Valuation Adjustment (DVA). We propose a model for the collateral by incorporating all related factors such as the thresholds, haircuts and margin period of risk. We derive the dynamics of the bilateral CVA in a general form with related jump martingales. We also introduce the Spread Value Adjustment (SVA) indicating the counterparty risk adjusted spread. Counterparty risky and the counterparty risk-free spread dynamics are derived and the dynamics of the SVA is found as a consequence. We finally employ a Markovian copula model for default intensities and illustrate our findings with numerical results.
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