{"title":"CVA的单因素Hull-White模型校正-第二部分:均值回归参数的优化","authors":"Christoph M. Puetter, Stefano Renzitti","doi":"10.2139/ssrn.3659443","DOIUrl":null,"url":null,"abstract":"This paper is the second of a multi-part series on the calibration of the one-factor Hull-White short rate model for the purpose of computing CVAs (and xVAs) with an xVA system. The first part introduces an atypical bootstrapping scheme for the calibration of the short rate volatility. The present second part focuses on the selection of the mean reversion parameter. In both expositions we present long-term time series results for EUR, JPY, and USD, covering the period from the beginning of 2009 (at the earliest) to spring 2020.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"One-factor Hull-White Model Calibration for CVA - Part II: Optimizing the Mean Reversion Parameter\",\"authors\":\"Christoph M. Puetter, Stefano Renzitti\",\"doi\":\"10.2139/ssrn.3659443\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper is the second of a multi-part series on the calibration of the one-factor Hull-White short rate model for the purpose of computing CVAs (and xVAs) with an xVA system. The first part introduces an atypical bootstrapping scheme for the calibration of the short rate volatility. The present second part focuses on the selection of the mean reversion parameter. In both expositions we present long-term time series results for EUR, JPY, and USD, covering the period from the beginning of 2009 (at the earliest) to spring 2020.\",\"PeriodicalId\":251522,\"journal\":{\"name\":\"Risk Management & Analysis in Financial Institutions eJournal\",\"volume\":\"29 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-07-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Risk Management & Analysis in Financial Institutions eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3659443\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Risk Management & Analysis in Financial Institutions eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3659443","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
One-factor Hull-White Model Calibration for CVA - Part II: Optimizing the Mean Reversion Parameter
This paper is the second of a multi-part series on the calibration of the one-factor Hull-White short rate model for the purpose of computing CVAs (and xVAs) with an xVA system. The first part introduces an atypical bootstrapping scheme for the calibration of the short rate volatility. The present second part focuses on the selection of the mean reversion parameter. In both expositions we present long-term time series results for EUR, JPY, and USD, covering the period from the beginning of 2009 (at the earliest) to spring 2020.
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