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CVA calculation for CDS on super senior ABS CDO

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  • Li, Hui
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    Abstract

    The way monoline insurers estimate the FAS 157 credit value adjustments (CVA) on their ABS CDO insurance portfolios vastly overstates the benefits. We propose a simple method that is more accurate, especially when the counterparty default risk is high. The counterparty default recovery rate is also a critical input.

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    File URL: http://mpra.ub.uni-muenchen.de/17945/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 17945.

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    Date of creation: Aug 2008
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    Handle: RePEc:pra:mprapa:17945

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    Related research

    Keywords: Credit Value Adjustment; Super Senior ABS CDO; Monoline insurer;

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    References

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    1. Damiano Brigo & Kyriakos Chourdakis, 2009. "Counterparty Risk For Credit Default Swaps: Impact Of Spread Volatility And Default Correlation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 1007-1026.
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    Cited by:
    1. Li, Hui, 2009. "Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery," MPRA Paper 19684, University Library of Munich, Germany, revised 18 Jan 2010.

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