XVII Workshop on Quantitative Finance -- Session on RISK I (Sala Azzurra)
speaker: Gaetano La Bua
speaker: Paolo Pellicioli
timetable:
Thu 28 Jan, 9:00 - 10:30, Sala Azzurra
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communication: RISK I: A note on CVA and Wrong Way Risk
speaker: Roberto Bavieraspeaker: Gaetano La Bua
speaker: Paolo Pellicioli
abstract: Hull and White approach to Wrong Way Risk in the computation of Credit Value Adjustment is considered the most straightforward generalization of the standard Basel approach. The model is financially intuitive and it can be implemented by a slight modification of existing algorithms for CVA calculation. However, path dependency in the key quantities has non elementary consequences in the calibration of model parameters. We propose a simple and fast approach for computing these quantities via a recursion formula. We show calibration methodology on market data and CVA computations in two relevant cases: a FX forward and an interest rate swap.
timetable:
Thu 28 Jan, 9:00 - 10:30, Sala Azzurra
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