Evaluation of credit value adjustment in K-forward

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dc.contributor.authorChunli, Liang
dc.contributor.examiningcommitteePorth, Lysa (Management) Wang, Xikui (Statistics)en_US
dc.contributor.supervisorHao, Xuemiao (Management)en_US
dc.date.accessioned2017-08-28T20:35:09Z
dc.date.available2017-08-28T20:35:09Z
dc.date.issued2017-07-20en_US
dc.degree.disciplineManagementen_US
dc.degree.levelMaster of Science (M.Sc.)en_US
dc.description.abstractWe study the counterparty default risk for longevity-linked securities in this thesis. In particular, we model and quantify credit value adjustment (CVA) in K-forward, a newly proposed longevity-linked security, from the longevity risk hedger’s perspective. The modeling is two folds. First, a vector autoregressive integrated moving-average process is used to model the time series of mortality indexes that is obtained by applying the original Cairns–Blake–Dowd model. Then, the risk-neutral term structure of default probability of the hedge provider is obtained by calibrating a reduced-form default model by matching the market price of bonds issued by the hedge provider with their dirty prices. We calculate and compare CVAs in K-forwards under different combinations of hedger provider, reference year and recovery rate.en_US
dc.description.noteOctober 2017en_US
dc.identifier.citationHao, X.; Liang, C.; Wei, L. (2017) Evaluation of credit value adjustment in K-forward. Insurance: Mathematics and Economics 76, 95-103.en_US
dc.identifier.urihttp://hdl.handle.net/1993/32383
dc.language.isoengen_US
dc.publisherInsurance: Mathematics and Economicsen_US
dc.rightsopen accessen_US
dc.subjectCVA, CBD model, VARIMA, K-forwardsen_US
dc.titleEvaluation of credit value adjustment in K-forwarden_US
dc.typemaster thesisen_US
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