论文标题
ICTMC框架中包含附带XVA的评级触发器的介绍
An introduction to rating triggers for collateral-inclusive XVA in an ICTMC framework
论文作者
论文摘要
在本文中，我们将实体的评级过程建模为分段均匀的连续时间马尔可夫链。我们专门关注将模型校准为历史数据（评级过渡矩阵）和市场数据（CDS引号），依靠简单的措施更改以从历史概率转变为风险中性措施。我们通过提出一种新的校准程序来克服数据的某些缺陷，从而改善整个方案。我们将模型应用于计算双边信用和借方估值调整，根据CSA的净设备，具体取决于两方的评级。
In this paper, we model the rating process of an entity as a piecewise homogeneous continuous time Markov chain. We focus specifically on calibrating the model to both historical data (rating transition matrices) and market data (CDS quotes), relying on a simple change of measure to switch from the historical probability to the risk-neutral one. We overcome some of the imperfections of the data by proposing a novel calibration procedure, which leads to an improvement of the entire scheme. We apply our model to compute bilateral credit and debit valuation adjustments of a netting set under a CSA with thresholds depending on ratings of the two parties.
