Munich Personal RePEc Archive

CVA calculation for CDS on super senior ABS CDO

Li, Hui (2008): CVA calculation for CDS on super senior ABS CDO.

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Abstract

The way monoline insurers estimate the FAS 157 credit value adjustments (CVA) on their ABS CDO insurance portfolios vastly overstates the benefits. We propose a simple method that is more accurate, especially when the counterparty default risk is high. The counterparty default recovery rate is also a critical input.

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