?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=https%3A%2F%2Fmpra.ub.uni-muenchen.de%2F20365%2F&rft.title=Double+Impact+on+CVA+for+CDS%3A+Wrong-Way+Risk+with+Stochastic+Recovery&rft.creator=Li%2C+Hui&rft.subject=G13+-+Contingent+Pricing+%3B+Futures+Pricing&rft.description=Current+CVA+modeling+framework+has+ignored+the+impact+of+stochastic+recovery+rate.+Due+to+the+possible+negative+correlation+between+default+and+recovery+rate%2C+stochastic+recovery+rate+could+have+a+doubling+effect+on+wrong-way+risk.+In+the+case+of+a+payer+CDS%2C+when+counterparty+defaults%2C+the+CDS+value+could+be+higher+due+to+default+contagion+while+the+recovery+rate+may+also+be+lower+if+the+economy+is+in+a+downturn.+Using+our+recently+proposed+model+of+correlated+stochastic+recovery+in+the+default+time+Gaussian+Copula+framework%2C+we+demonstrate+this+double+impact+on+wrong-way+risk+in+the+CVA+calculation+for+a+payer+CDS.+We+also+present+a+new+form+of+Gaussian+copula+that+correlates+both+default+time+and+recovery+rate.&rft.date=2009-12-31&rft.type=MPRA+Paper&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=https%3A%2F%2Fmpra.ub.uni-muenchen.de%2F20365%2F2%2FMPRA_paper_20365.pdf&rft.identifier=++Li%2C+Hui++(2009)%3A+Double+Impact+on+CVA+for+CDS%3A+Wrong-Way+Risk+with+Stochastic+Recovery.++++&rft.language=en