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CVA calculation for CDS on super senior ABS CDO

Author

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  • Li, Hui

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.

Suggested Citation

  • Li, Hui, 2008. "CVA calculation for CDS on super senior ABS CDO," MPRA Paper 17945, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:17945
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    File URL: https://mpra.ub.uni-muenchen.de/17945/1/MPRA_paper_17945.pdf
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    Citations

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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.
    2. Hui Li, 2013. "A Note On The Double Impact On Cva For Cds: Wrong-Way Risk With Stochastic Recovery," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(03), pages 1-14.

    More about this item

    Keywords

    Credit Value Adjustment; Super Senior ABS CDO; Monoline insurer;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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