Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/13993 |
Resumo: | A stock swap transaction is an alternative way for a company who want to enter into a long position on its own stocks or who intend to set up a repurchase program without having to dispose of cash or contract a loan, or even hedging against increases on its stock prices. In this swap transaction the company receives the return on its own stock, whilst paying a fixed or floating interest rate. However, this kind of swap presents wrong-way risk, that is, a positive dependence between the underlying asset and the counterparty’s default probability, which must be considered by dealers when pricing this kind of swap contracts. In this work we propose a model for incorporating dependence between default probabilities and the counterparty’s exposure in the calculation of the CVA for these kind of swaps. We use a Cox process to model default times, given that the stochastic default intensity follows a CIR model, and assuming that the factor driving the underlying stock price and the factor driving the default intensity are jointly given by a bivariate standard Gaussian distribution. We analyze the impact on CVA of incorporating wrong-way risk in this kind of swap transaction with different counterparties, and for different maturities and dependence levels. |
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Ibelli, Rodrigo TrintinoEscolas::EESPMartins, Thiago BarrosChela, João LuizRuilova Terán, Juan Carlos2015-09-04T21:12:42Z2015-09-04T21:12:42Z2015-08-12IBELLI, Rodrigo Trintino. Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2015.http://hdl.handle.net/10438/13993A stock swap transaction is an alternative way for a company who want to enter into a long position on its own stocks or who intend to set up a repurchase program without having to dispose of cash or contract a loan, or even hedging against increases on its stock prices. In this swap transaction the company receives the return on its own stock, whilst paying a fixed or floating interest rate. However, this kind of swap presents wrong-way risk, that is, a positive dependence between the underlying asset and the counterparty’s default probability, which must be considered by dealers when pricing this kind of swap contracts. In this work we propose a model for incorporating dependence between default probabilities and the counterparty’s exposure in the calculation of the CVA for these kind of swaps. We use a Cox process to model default times, given that the stochastic default intensity follows a CIR model, and assuming that the factor driving the underlying stock price and the factor driving the default intensity are jointly given by a bivariate standard Gaussian distribution. We analyze the impact on CVA of incorporating wrong-way risk in this kind of swap transaction with different counterparties, and for different maturities and dependence levels.Uma forma interessante para uma companhia que pretende assumir uma posição comprada em suas próprias ações ou lançar futuramente um programa de recompra de ações, mas sem precisar dispor de caixa ou ter que contratar um empréstimo, ou então se protegendo de uma eventual alta no preço das ações, é através da contratação de um swap de ações. Neste swap, a companhia fica ativa na variação de sua própria ação enquanto paga uma taxa de juros pré ou pós-fixada. Contudo, este tipo de swap apresenta risco wrong-way, ou seja, existe uma dependência positiva entre a ação subjacente do swap e a probabilidade de default da companhia, o que precisa ser considerado por um banco ao precificar este tipo de swap. Neste trabalho propomos um modelo para incorporar a dependência entre probabilidades de default e a exposição à contraparte no cálculo do CVA para este tipo de swap. Utilizamos um processo de Cox para modelar o instante de ocorrência de default, dado que a intensidade estocástica de default segue um modelo do tipo CIR, e assumindo que o fator aleatório presente na ação subjacente e que o fator aleatório presente na intensidade de default são dados conjuntamente por uma distribuição normal padrão bivariada. Analisamos o impacto no CVA da incorporação do riscowrong-way para este tipo de swap com diferentes contrapartes, e para diferentes prazos de vencimento e níveis de correlação.engCVACounterparty riskWrong-way riskSwapEconomiaSwaps (Finanças)Risco (Economia)Ações (Finanças) - Opções para compraWrong-way risk in stock swaps: measuring counterparty credit risk and CVAinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessLICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/8d91d143-dc47-4aa4-986a-fd0309841013/downloaddfb340242cced38a6cca06c627998fa1MD56ORIGINALRodrigo Ibelli - Dissertaçao MPFE 2015 v2.pdfRodrigo Ibelli - Dissertaçao MPFE 2015 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|
dc.title.por.fl_str_mv |
Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA |
title |
Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA |
spellingShingle |
Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA Ibelli, Rodrigo Trintino CVA Counterparty risk Wrong-way risk Swap Economia Swaps (Finanças) Risco (Economia) Ações (Finanças) - Opções para compra |
title_short |
Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA |
title_full |
Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA |
title_fullStr |
Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA |
title_full_unstemmed |
Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA |
title_sort |
Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA |
author |
Ibelli, Rodrigo Trintino |
author_facet |
Ibelli, Rodrigo Trintino |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Martins, Thiago Barros Chela, João Luiz |
dc.contributor.author.fl_str_mv |
Ibelli, Rodrigo Trintino |
dc.contributor.advisor1.fl_str_mv |
Ruilova Terán, Juan Carlos |
contributor_str_mv |
Ruilova Terán, Juan Carlos |
dc.subject.eng.fl_str_mv |
CVA Counterparty risk Wrong-way risk Swap |
topic |
CVA Counterparty risk Wrong-way risk Swap Economia Swaps (Finanças) Risco (Economia) Ações (Finanças) - Opções para compra |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Swaps (Finanças) Risco (Economia) Ações (Finanças) - Opções para compra |
description |
A stock swap transaction is an alternative way for a company who want to enter into a long position on its own stocks or who intend to set up a repurchase program without having to dispose of cash or contract a loan, or even hedging against increases on its stock prices. In this swap transaction the company receives the return on its own stock, whilst paying a fixed or floating interest rate. However, this kind of swap presents wrong-way risk, that is, a positive dependence between the underlying asset and the counterparty’s default probability, which must be considered by dealers when pricing this kind of swap contracts. In this work we propose a model for incorporating dependence between default probabilities and the counterparty’s exposure in the calculation of the CVA for these kind of swaps. We use a Cox process to model default times, given that the stochastic default intensity follows a CIR model, and assuming that the factor driving the underlying stock price and the factor driving the default intensity are jointly given by a bivariate standard Gaussian distribution. We analyze the impact on CVA of incorporating wrong-way risk in this kind of swap transaction with different counterparties, and for different maturities and dependence levels. |
publishDate |
2015 |
dc.date.accessioned.fl_str_mv |
2015-09-04T21:12:42Z |
dc.date.available.fl_str_mv |
2015-09-04T21:12:42Z |
dc.date.issued.fl_str_mv |
2015-08-12 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
IBELLI, Rodrigo Trintino. Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2015. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/13993 |
identifier_str_mv |
IBELLI, Rodrigo Trintino. Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2015. |
url |
http://hdl.handle.net/10438/13993 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
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Fundação Getulio Vargas (FGV) |
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FGV |
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FGV |
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collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
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bitstream.checksum.fl_str_mv |
dfb340242cced38a6cca06c627998fa1 73920855986bac8bbb327a8c29830dbe c88d099b3b2fef03559e3d370a743fae e01198991dfbede41446af15fa75c51e |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810024035827843072 |