デフォルトリスクを考慮したデリバティブ価格 : CVAとDVA

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書誌事項

タイトル別名
  • CVA AND DVA FOR DEFAULT RISK MANAGEMENT OF EUROPEAN TYPE DERIVATIVES

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説明

We consider the Credit Value Adjustment (CVA) for financial institutions to manage counterparty risk in derivative transactions. CVA is the market value adjustment of derivative price based on the creditworthiness of company in the case of default. The new method for CVA, which is proposed by Hull and White[1], is based on the theory of Continuous CAPM and hedging portfolios approach. We evaluate the effect of correlation of counter party default and the Bank default probability in simulation. The distribution is assumed to be bivariate normal distribution and bivariate t- distribution for default correlation in European type derivatives. We compare capital requirement for bank in calculation by only CVA (Basel III) and by both CVA and DVA (IFRS).

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詳細情報 詳細情報について

  • CRID
    1390290699807465472
  • NII論文ID
    120005614227
  • NII書誌ID
    AA12677220
  • DOI
    10.15002/00011313
  • HANDLE
    10114/10620
  • ISSN
    21879923
  • 本文言語コード
    ja
  • 資料種別
    departmental bulletin paper
  • データソース種別
    • JaLC
    • IRDB
    • CiNii Articles
  • 抄録ライセンスフラグ
    使用可

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