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资金与信用估值调整的一致性框架

文章 arXiv papers · 作者: Andrea Pallavicini et al.
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总结

本文构建了一个风险中性定价框架，将资金成本和保证金成本纳入交易对手信用风险分析。框架允许抵押品和资金利率不对称，也可采用外部指定的流动性政策和对冲策略。框架还处理了再质押引发的流动性风险以及平仓金额评估的复杂性，同时兼容标准市场文件中的保证金和净额结算惯例。

本文的主要成果是一个双边定价方程，将信用估值调整、债务估值调整、保证金和资金成本结合起来。该方程具有递归结构，因此难以简单地加入加法形式的资金估值调整。作者转而将定价问题表示为迭代关系，并用标准最小二乘蒙特卡洛方法求解。文中的示例说明，如何从更广泛的框架推导先前有关资金和交易对手风险的结果，包括贴现曲线。摘录未提供数值案例结果或实施细节；实际结论取决于所选政策和合同假设。

核心观点

  • 该框架在风险中性定价中纳入资金、保证金和交易对手信用风险。
  • 该框架允许资金利率和抵押品利率不对称，并可灵活设定保证金和净额结算假设。
  • 框架纳入再质押流动性风险和平仓金额评估问题。
  • 递归双边定价方程结合了信用、债务、保证金和资金影响。
  • 作者提出使用最小二乘蒙特卡洛方法求解迭代关系。

标签

衍生品定价风险管理统计学固定收益
全文
# Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation


# Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation









In this paper we describe how to include funding and margining costs into a risk-neutral pricing framework for counterparty credit risk. We consider realistic settings and we include in our models the common market practices suggested by the ISDA documentation without assuming restrictive constraints on margining procedures and close-out netting rules. In particular, we allow for asymmetric collateral and funding rates, and exogenous liquidity policies and hedging strategies. Re-hypothecation liquidity risk and close-out amount evaluation issues are also covered. We define a comprehensive pricing framework which allows us to derive earlier results on funding or counterparty risk. Some relevant examples illustrate the non trivial settings needed to derive known facts about discounting curves by starting from a general framework and without resorting to ad hoc hypotheses. Our main result is a bilateral collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debt valuation adjustments along with margining and funding costs in a coherent way. We find that the equation has a recursive form, making the introduction of an additive funding valuation adjustment difficult. Yet, we can cast the pricing equation into a set of iterative relationships which can be solved by means of standard least-square Monte Carlo techniques.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。