WBS CVA Conference 2013 (London)

At the WBS CVA Conference, Alexander Sokol presented a paper on trade specific calibration for CVA/FVA. This is the title and brief summary of the presentation:

Combining Trade Specific Calibration with Path Consistency in Modeling CVA/FVA and Wrong Way Risk (pdf)

  • Why trade specific calibration which is the norm in valuation should also be the norm in CVA/FVA
  • Combining path consistency with trade specific calibration for CVA/FVA
    • Incremental correlation model
    • Bridge correlation model
    • Historical correlation model
  • Trade specific calibration for wrong way credit and funding risk
    • Preserving the unconditional exposure distribution in modeling wrong way risk
    • Parameter estimation from the historical data