论文标题
用于监管CVA的模型独立WWR以及会计CVA和FVA的模型
Model independent WWR for regulatory CVA and for accounting CVA and FVA
论文作者
论文摘要
一般错误的方式风险（WWR）估计对于监管CVA资本是必需的，对于定价CVA和FVA是有用的。我们介绍了一种独立的模型方法，用于计算WWR并更新WWR的定义，以透明地处理缺乏复制仪器（校准数据）。这种独立的方法非常简单：我们只是根据其组件重新编写CVA和FVA积分表达式，然后校准这些组件。这提供了组件校准和CVA/FVA效应之间的透明度，因为之间没有模型解释。包括WWR的资金意味着现在有两个WWR术语，而不是通常的术语。使用MAR50的监管启发的校准，我们研究了Vanilla利率掉期的WWR效应，并表明FVA的WWR效应比CVA的材料明显更多。该模型独立的方法还可以通过简单地校准投资组合和交易对方来比较任何WWR模型，以证明根据CVA/FVA计算的组件进行研究的效果。
General wrong way risk (WWR) estimation is necessary for regulatory CVA capital and useful for pricing CVA and FVA. We introduce a model independent method for calculating WWR and update the definition of WWR to deal with the lack of replication instruments (calibration data) transparently. This model independent approach is extremely simple: we just re-write the CVA and FVA integral expressions in terms of their components and then calibrate these components. This provides transparency between component calibration and CVA/FVA effect because there is no model interpretation in between. Including funding in WWR means that there are now two WWR terms rather than the usual one. Using a regulatory inspired calibration from MAR50 we investigate WWR effects for vanilla interest rate swaps and show that the WWR effects for FVA are significantly more material than for CVA. This model independent approach can also be used to compare any WWR model by simply calibrating to it for a portfolio and counterparty, to demonstrate the effects of the model under investigation in terms of components of CVA/FVA calculations.
