论文标题
信用评估调整信用风险，同时违约可能性
Credit Valuation Adjustment in Credit Risk with Simultaneous Defaults Possibility
论文作者
论文摘要
在最近的一系列论文中，达米亚诺·布里戈（Damiano Brigo），安德里亚·帕拉维奇尼（Andrea Pallavicini）和合着者表明，信用估值调整（CVA）设置中合同的价值（CVA）是现金流量的总和，可以用作解除脱钩的前进式差分方程（FBSDE）的解决方案。 CVA是无风险投资组合价值与真实投资组合价值之间的差异，该价值考虑了反方默认值的可能性。换句话说，CVA是反政党信用风险的市场价值。在2008年的金融崩溃之后，这显然是值得注意的，而反政党的风险却造成了模型不足但巨大的风险。在他们的分析中，鉴于自由市场过滤，Brigo等人对默认时间的有条件独立性进行了经典假设。这不允许越来越可能同时进行默认情况。我们削弱了它们的假设，用Martingale正交条件代替它。反过来，这改变了源自模型的BSDE形式。
In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and co-authors have shown that the value of a contract in a Credit Valuation Adjustment (CVA) setting, being the sum of the cash flows, can be represented as a solution of a decoupled forward-backward stochastic differential equation (FBSDE). CVA is the difference between the risk-free portfolio value and the true portfolio value that takes into account the possibility of a counter party's default. In other words, CVA is the market value of counter party credit risk. This has achieved noteworthy importance after the 2008 financial debacle, where counter party risk played an under-modeled but huge risk. In their analysis, Brigo et al make the classical assumption of conditional independence of the default times, given the risk free market filtration. This does not allow for the increasingly likely case of simultaneous defaults. We weaken their assumption, replacing it with a martingale orthogonality condition. This in turn changes the form of the BSDE that arises from the model.
