Li, Hui (2008): CVA calculation for CDS on super senior ABS CDO.
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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.
|Item Type:||MPRA Paper|
|Original Title:||CVA calculation for CDS on super senior ABS CDO|
|Keywords:||Credit Value Adjustment, Super Senior ABS CDO, Monoline insurer|
|Subjects:||G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill|
|Depositing User:||Hui Li|
|Date Deposited:||19. Oct 2009 13:33|
|Last Modified:||14. Feb 2013 09:42|
 M. Pykhtin and S. Zhu, “A Guide to Modeling Counterparty Credit Risk”, GARP Risk Review, July/August 2007 Issue 37 p16;
 D. Brigo and K. Chourdakis, “Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation”, FitchSolutions, May 2008;
 S. Amraoui and S. Hitier, “Optimal Stochastic Recovery for Base Correlation”, June 2008.