融资估值调整中错误方向风险的相关性
Relevance of Wrong-Way Risk in Funding Valuation Adjustments
摘要：
2020年3月，全球陷入金融危机。这表现在金融市场的不确定性增加。许多利率崩溃，资金利差大幅飙升，由于市场动荡而增加。鉴于这些事件，在融资估值调整（FVA）背景下理解和建模错误方向风险（WWR）至关重要。WWR目前可能不在银行估值调整（xVA）引擎的FVA计算中。然而，在这封信中，我们证明，WWR的影响是不可忽略的FVA建模从风险管理的角度。我们研究了各种建模选择的影响，例如包括相关方的违约时间，以及随机和确定性融资利差。利率衍生品的案例研究。
英文摘要：
In March 2020, the world was thrown into financial distress. This manifested itself in increased uncertainty in the financial markets. Many interest rates collapsed, and funding spreads surged significantly, which increased due to the market turmoil. In light of these events, it is essential to understand and model Wrong-Way Risk (WWR) in a Funding Valuation Adjustment (FVA) context. WWR may currently be absent from FVA calculations in banks' Valuation Adjustment (xVA) engines. However, in this letter, we demonstrate that WWR effects are non-negligible in FVA modelling from a risk-management perspective. We look at the impact of various modelling choices, such as including the default times of the relevant parties, as well as stochastic and deterministic funding spreads. A case study is presented for interest rate derivatives.
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