论文标题
信用估值调整随替换结算：理论和算法
Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms
论文作者
论文摘要
自2008年金融危机以来，“替代关闭公约”引起了越来越多的关注。与常规的无风险关闭相比，《替代关闭公约》包含交易对手的信誉，因此提供了对财务索赔的标记到市场价值的更准确估计。与无风险关闭的相反，替换关闭构成非线性估值系统，这构成了交易对方信用风险估值的主要困难。 在本文中，我们展示了如何解决理论和计算分析中替换结局的非线性。在理论部分中，我们证明了非线性估值系统的独特解决性，并研究了替换结算对信用估值调整的影响。在计算部分中，我们提出了一种基于神经网络的算法，用于解决（高维）非线性评估系统，并有效地减轻了维度的诅咒。我们从数值上比较了无风险和替换关闭的估值的计算成本。数值测试证实了我们提出的算法的准确性和计算效率，以估算替换关闭的估值。
The replacement closeout convention has drawn more and more attention since the 2008 financial crisis. Compared with the conventional risk-free closeout, the replacement closeout convention incorporates the creditworthiness of the counterparty and thus providing a more accurate estimate of the Mark-to-market value of a financial claim. In contrast to the risk-free closeout, the replacement closeout renders a nonlinear valuation system, which constitutes the major difficulty in the valuation of the counterparty credit risk. In this paper, we show how to address the nonlinearity attributed to the replacement closeout in the theoretical and computational analysis. In the theoretical part, we prove the unique solvability of the nonlinear valuation system and study the impact of the replacement closeout on the credit valuation adjustment. In the computational part, we propose a neural network-based algorithm for solving the (high dimensional) nonlinear valuation system and effectively alleviating the curse of dimensionality. We numerically compare the computational cost for the valuations with risk-free and replacement closeouts. The numerical tests confirm both the accuracy and the computational efficiency of our proposed algorithm for the valuation of the replacement closeout.
