Detail práce

Counterparty credit risk modelling

Autor: Mgr. Mikoláš Volek
Rok: 2016 - letní
Vedoucí: prof. PhDr. Petr Teplý Ph.D.
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 89
Abstrakt: Counterparty credit risk is an important type of financial risk. The importance of
proper counterparty risk management became most apparent in the wake of the 2008
series of failures of several large banks. Correlation of market factors is an important
issue in the calculation of CVA. A notable case of correlation is wrong-way risk which
occurs whenever the probability of default of the counterparty is positively correlated
with exposure. The basic formulas for CVA and basic counterparty credit risk models
do not account for wrong-way risk because its modeling is nontrivial. This thesis
aims to answer how well can the impact of wrong-way risk on CVA be approximated
with an add-on which only depends on correlation between the price of the underlying
asset and the credit spread of the counterparty. The thesis is supplemented by a
fully documented implementation of the model in the Mathematica software.




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