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Collateralised CVA in full dependency mode

Posted 8 years ago
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We look at the behaviour of the collateralised CVA module when the setting is defined in the full dependency mode. This includes the expected exposure drivers and the hazard rate process. We analyse various exposure definitions – both in symmetric and asymmetric modes and examine the system behaviour with the threshold activation. Collateralisation and its further extension with tolerance barrier bring in substantial reduction of expected exposure. The correlation sensitivity is more complex as it exhibits level-dependence and non-linear behaviour.

Collateralised CVA with dependency

POSTED BY: Igor Hlivka
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