CVA and vulnerable options pricing by correlation expansions

We consider the problem of computing the credit value adjustment (CVA) of a European option in presence of the wrong way risk in a default intensity setting. Namely we model the asset price evolution as solution to a linear equation that might depend on different stochastic factors and we provide an...

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Vydáno v:	Annals of operations research Ročník 299; číslo 1-2; s. 401 - 427
Hlavní autoři:	Antonelli, F., Ramponi, A., Scarlatti, S.
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	New York Springer US 01.04.2021 Springer Springer Nature B.V
Témata:	Adjusting entries Asset management Business and Management Combinatorics Correlation Correlation (Statistics) Credit Credit risk Default Funding Interest rates Linear equations Linear programming Liquidity Market prices Methods Operations research Operations Research/Decision Theory Options (Finance) Prices and rates S.I.: Recent Developments in Financial Modeling and Risk Management Securities prices Theory of Computation Valuation Italy Rome Italy XVA Affine processes 91G60 Vulnerable options 60J70 Counterparty credit risk 91G20 Wrong way risk Credit value adjustment Duhamel principle
ISSN:	0254-5330, 1572-9338
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Abstract	We consider the problem of computing the credit value adjustment (CVA) of a European option in presence of the wrong way risk in a default intensity setting. Namely we model the asset price evolution as solution to a linear equation that might depend on different stochastic factors and we provide an approximate evaluation of the option’s price, by exploiting a correlation expansion approach, introduced in Antonelli and Scarlatti (Finance Stoch 13:269–303, 2009). We also extend our theoretical analysis to include some further value adjustments, for instance due to collateralization and funding costs. Finally, in the CVA case, we compare the numerical performance of our method with the one recently proposed by Brigo and Vrins (Eur J Oper Res 269:1154–1164, 2018) and Brigo et al. (Innovations in insurance, risk and asset management, WSPC proceedings, 2018), in the case of a call option driven by a GBM correlated with a CIR default intensity. We additionally compare with the numerical evaluations obtained by other methods.
AbstractList	We consider the problem of computing the credit value adjustment (CVA) of a European option in presence of the wrong way risk in a default intensity setting. Namely we model the asset price evolution as solution to a linear equation that might depend on different stochastic factors and we provide an approximate evaluation of the option’s price, by exploiting a correlation expansion approach, introduced in Antonelli and Scarlatti (Finance Stoch 13:269–303, 2009). We also extend our theoretical analysis to include some further value adjustments, for instance due to collateralization and funding costs. Finally, in the CVA case, we compare the numerical performance of our method with the one recently proposed by Brigo and Vrins (Eur J Oper Res 269:1154–1164, 2018) and Brigo et al. (Innovations in insurance, risk and asset management, WSPC proceedings, 2018), in the case of a call option driven by a GBM correlated with a CIR default intensity. We additionally compare with the numerical evaluations obtained by other methods. We consider the problem of computing the credit value adjustment (CVA) of a European option in presence of the wrong way risk in a default intensity setting. Namely we model the asset price evolution as solution to a linear equation that might depend on different stochastic factors and we provide an approximate evaluation of the option’s price, by exploiting a correlation expansion approach, introduced in Antonelli and Scarlatti (Finance Stoch 13:269–303, 2009). We also extend our theoretical analysis to include some further value adjustments, for instance due to collateralization and funding costs. Finally, in the CVA case, we compare the numerical performance of our method with the one recently proposed by Brigo and Vrins (Eur J Oper Res 269:1154–1164, 2018) and Brigo et al. (Innovations in insurance, risk and asset management, WSPC proceedings, 2018), in the case of a call option driven by a GBM correlated with a CIR default intensity. We additionally compare with the numerical evaluations obtained by other methods.
Audience	Academic
Author	Ramponi, A. Scarlatti, S. Antonelli, F.
Author_xml	– sequence: 1 givenname: F. orcidid: 0000-0002-8607-4582 surname: Antonelli fullname: Antonelli, F. organization: University of L’Aquila – sequence: 2 givenname: A. orcidid: 0000-0002-2687-211X surname: Ramponi fullname: Ramponi, A. email: alessandro.ramponi@uniroma2.it organization: Department of Economics and Finance, University of Roma - Tor Vergata – sequence: 3 givenname: S. orcidid: 0000-0002-9347-6598 surname: Scarlatti fullname: Scarlatti, S. organization: Department of Enterprise Engineering, University of Roma - Tor Vergata
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Keywords	XVA Affine processes 91G60 Vulnerable options 60J70 Counterparty credit risk 91G20 Wrong way risk Credit value adjustment Duhamel principle
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SubjectTerms	Adjusting entries Asset management Business and Management Combinatorics Correlation Correlation (Statistics) Credit Credit risk Default Funding Interest rates Linear equations Linear programming Liquidity Market prices Methods Operations research Operations Research/Decision Theory Options (Finance) Prices and rates S.I.: Recent Developments in Financial Modeling and Risk Management Securities prices Theory of Computation Valuation
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Title	CVA and vulnerable options pricing by correlation expansions
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