City Research Online - Counterparty credit risk in a multivariate structural model with jumps

Counterparty credit risk in a multivariate structural model with jumps

Ballotta, L. ORCID: 0000-0002-2059-6281 & Fusai, G. ORCID: 0000-0001-9215-2586 (2015). Counterparty credit risk in a multivariate structural model with jumps. Finance, Revue de l'Association Française de Finance, Vol. 3(1), pp. 39-74. doi: 10.3917/fina.361.0039

Abstract

We present a multivariate version of a structural default model with jumps and use it in order to quantify the bilateral credit value adjustment and the bilateral debt value adjustment for equity contracts, such as forwards, in a Merton-type default setting. In particular, we explore the impact of changing correlation between names on these adjustments and study the effect of wrong-way and right-way risk.

Publication Type:	Article
Departments:	Bayes Business School > Finance
SWORD Depositor:	Symplectic Administrator

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Creators:	Ballotta, L. ORCID: 0000-0002-2059-6281 Fusai, G. ORCID: 0000-0001-9215-2586
Status:	Published
Refereed:	Yes
Journal or Publication Title:	Finance, Revue de l'Association Française de Finance
Publisher:	CAIRN
ISSN:	0752-6180
URI:	https://openaccess.city.ac.uk/id/eprint/4285
Date available in CRO:	09 Jul 2018 10:34
Date deposited:	5 October 2017
Dates:	Date Event June 2015 Published 1 January 2014 Accepted