Wrong-way Risk in Credit Valuation Adjustment of Credit Default Swap with Copulas: Application of Shifted Square Root Jump Diffusion for Default Intensities


We compare several models for the CVA (credit valuation adjustment) of a CDS (credit default swap) under a copula approach with stochastic default intensities. Adopting the shifted square root jump diffusion for the default... [ view full abstract ]


  1. Toshinao Yoshiba (Bank of Japan)
  2. Testuya Adachi (PwC Consulting LLC)
  3. Takumi Sueshige (Tokyo Institute of Technology)

Topic Areas

Computational Finance , Credit Jump Models , CVA-XVA Models


WE-A-B1 » Measuring Risk: Unilateral and Central Exposures (11:30 - Wednesday, 18th July, Beckett 1)

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