论文标题
错误道路风险在资金估值调整中的相关性
Relevance of Wrong-Way Risk in Funding Valuation Adjustments
论文作者
论文摘要
2020年3月，世界陷入了财务困境。这表明自己在金融市场的不确定性增加。许多利率崩溃了，资金差异显着飙升，由于市场动荡而增加。鉴于这些事件，必须在资金估值调整（FVA）上下文中理解和建模错误的通道风险（WWR）。目前，从银行估值调整（XVA）发动机中的FVA计算中可能不存在WWR。但是，在这封信中，我们证明了从风险管理的角度来看，WWR效应在FVA建模中是不可忽略的。我们查看各种建模选择的影响，例如包括相关当事方的默认时间以及随机和确定性的资金差异。提出了一个案例研究的利率衍生工具。
In March 2020, the world was thrown into financial distress. This manifested itself in increased uncertainty in the financial markets. Many interest rates collapsed, and funding spreads surged significantly, which increased due to the market turmoil. In light of these events, it is essential to understand and model Wrong-Way Risk (WWR) in a Funding Valuation Adjustment (FVA) context. WWR may currently be absent from FVA calculations in banks' Valuation Adjustment (xVA) engines. However, in this letter, we demonstrate that WWR effects are non-negligible in FVA modelling from a risk-management perspective. We look at the impact of various modelling choices, such as including the default times of the relevant parties, as well as stochastic and deterministic funding spreads. A case study is presented for interest rate derivatives.
