Logo
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.

[thumbnail of MPRA_paper_17945.pdf]
Preview
PDF
MPRA_paper_17945.pdf

Download (69kB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.