论文标题
在跳跃设置中调整信用估值调整的计算方法
A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting
论文作者
论文摘要
这项研究通过重点关注信用估值调整（CVA），相应的利润与损失（P＆L）和P＆L解释的动态对冲来有助于了解估值调整（XVA）。这是基于现有文献中讨论的理论对冲框架在蒙特卡洛模拟环境中完成的。我们考虑对冲CVA市场的投资组合风险，其中包括欧洲股票的股票，首先是在黑色 - choles环境中，然后在Merton跳投环境中。此外，我们在包括XVA的价格（定价）后分析了银行的交易业务。我们通过从桌面结构的角度分析和可视化投资组合的现金流量，从而为衍生品及其XVA的对冲提供见解。该案例研究表明，在贸易开始时不收取CVA的费用会导致预期的损失。此外，对冲CVA市场风险对于最终获得稳定的交易策略至关重要。在黑色choles设置中，可以使用基础股票来完成此操作，而在Merton跳跃 - 扩散设置中，我们需要在对冲投资组合中添加额外的选项，以适当地对冲跳跃风险。除了模拟外，我们还得出了分析结果，从数值实验中解释了我们的观察结果。了解CVA的对冲有助于在实践环境中处理XVA。
This study contributes to understanding Valuation Adjustments (xVA) by focussing on the dynamic hedging of Credit Valuation Adjustment (CVA), corresponding Profit & Loss (P&L) and the P&L explain. This is done in a Monte Carlo simulation setting, based on a theoretical hedging framework discussed in existing literature. We look at hedging CVA market risk for a portfolio with European options on a stock, first in a Black-Scholes setting, then in a Merton jump-diffusion setting. Furthermore, we analyze the trading business at a bank after including xVAs in pricing. We provide insights into the hedging of derivatives and their xVAs by analyzing and visualizing the cash-flows of a portfolio from a desk structure perspective. The case study shows that not charging CVA at trade inception results in an expected loss. Furthermore, hedging CVA market risk is crucial to end up with a stable trading strategy. In the Black-Scholes setting this can be done using the underlying stock, whereas in the Merton jump-diffusion setting we need to add extra options to the hedge portfolio to properly hedge the jump risk. In addition to the simulation, we derive analytical results that explain our observations from the numerical experiments. Understanding the hedging of CVA helps to deal with xVAs in a practical setting.
