交易对手违约与利率波动的关系及其对利率衍生品信用风险的影响

IF 0.3 4区经济学 Q4 Economics, Econometrics and Finance

Journal of Credit Risk Pub Date : 2015-03-20 DOI:10.21314/jcr.2015.190

Jiarui Yang, Tao Wu, Geoffrey R. Harris

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引用次数: 1

摘要

我们提出了一个统一的框架来研究利率波动率和交易对手违约概率之间的相关性对抵押利率衍生品合约信用风险的影响。当利率波动时，交易对手更有可能违约。伴随着交易对手违约的利率大幅波动可能导致利率衍生品的损失，即使这些衍生品是有抵押的。提出了具有随机波动的利率模型和违约概率与利率波动相关的简化违约模型，并根据市场数据进行了估计。然后，我们分析了利率波动率与交易对手违约概率之间的相关性对抵押利率衍生品合约信用风险的影响。我们的研究结果表明，忽略这种相关性低估了信用风险，即使是抵押交易。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Relationship between Counterparty Default and Interest Rate Volatility and its Impact on the Credit Risk of Interest Rate Derivatives

We present a unified framework to study the effect of the correlation between interest rate volatility and counterparty default probability on the credit risk of collateralized interest rate derivatives contracts. When interest rates are volatile, counterparties are potentially more likely to default. Large moves in interest rates accompanied by counterparty default may lead to losses on interest rate derivatives, even if they are collateralized. An interest rate model with stochastic volatility and a reduced form default model, in which the default probability is correlated with interest rate volatility, are proposed and estimated from market data. We then analyze the effect of the correlation between interest rate volatility and a counterparty's default probability on the credit risk of collateralized interest rate derivatives contracts. Our results show that ignoring this correlation underestimates the credit risk, even with collateralized trades.

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来源期刊

Journal of Credit Risk BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater. The Journal of Credit Risk focuses on the measurement and management of credit risk, the valuation and hedging of credit products, and aims to promote a greater understanding in the area of credit risk theory and practice. The Journal of Credit Risk considers submissions in the form of research papers and technical papers, on topics including, but not limited to: Modelling and management of portfolio credit risk Recent advances in parameterizing credit risk models: default probability estimation, copulas and credit risk correlation, recoveries and loss given default, collateral valuation, loss distributions and extreme events Pricing and hedging of credit derivatives Structured credit products and securitizations e.g. collateralized debt obligations, synthetic securitizations, credit baskets, etc. Measuring managing and hedging counterparty credit risk Credit risk transfer techniques Liquidity risk and extreme credit events Regulatory issues, such as Basel II, internal ratings systems, credit-scoring techniques and credit risk capital adequacy.