Das Kontrahentenrisiko und CCDSs unter Korrelation
Das Kontrahentenrisiko unter Korrelation ist in der Finanzliteratur relativ unerforscht. Im vorliegenden Artikel führen Damiano Brigo und Andrea Pallavicini die bestehenden Analysen über einfache Swap-Portfolios hinaus. Das Ausfallereignis wird im Rahmen eines stochastischen Intensitäts-Sprung-Diffusionsmodells betrachtet. Außerdem werden relevante und strukturierte Auswirkungen der Zinssatz/Kredit-Korrelation auf die Kontrahentenrisiko-Anpassung nachgewiesen, die in natürlicher Weise mit bedingten Kreditausfallswaps (CCDSs) zusammenhängen
In diesem Artikel befassen wir uns mit dem Kontra-hentenrisiko für Zinsauszahlungen bei Korrelation zwischen den Kredit- und Zinssätzen. Wir untersuchen dabei insbesondere das Kontrahentenrisiko (bzw. Ausfallrisiko) bei Zinsswaps (IRSs) und schließen damit an die Arbeiten von Sorensen & Bollier (1994) und Brigo & Masetti (2006) an, die die Korrelation nicht berücksichtigen, sowie an die Arbeit von Brigo & Pallavicini (2007), die den Intensitätsprozess als reinen Diffusionsprozess betrachten.
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