On bilateral counterparty credit risk in longevity-linked security
| dc.contributor.author | Wei, Linghua | |
| dc.contributor.examiningcommittee | Pai, Jeffrey (Warren Centre for Actuarial Studies and Research), Paseka, Alexander (Accounting & Finance), Yang, Po (Statistics) | en_US |
| dc.contributor.supervisor | Hao, Xuemiao (Warren Centre for Actuarial Studies and Research) | en_US |
| dc.date.accessioned | 2017-09-06T20:58:24Z | |
| dc.date.available | 2017-09-06T20:58:24Z | |
| dc.date.issued | 2017 | en_US |
| dc.degree.discipline | Management | en_US |
| dc.degree.level | Master of Science (M.Sc.) | en_US |
| dc.description.abstract | In recent decades, longevity risk has become a common risk in life insurance industry. Longevity-linked securities are created to hedge such risk and traded over the counter. This thesis mainly focuses on evaluating the counterparty credit risk of longevity securities, using the newly proposed K-forward for example. Instead of only considering the counterparty credit risk from the hedger’s perspective, we adopt bilateral credit value adjustment to evaluate the counterparty credit risk. The modelling consists of two significant parts. The first one is risk exposure estimated by locally linear Cairns–Blake–Dowd mortality model. The second part is joint default probability. We use a reduced-form default model to obtain the marginal risk-neutral term structure of default probability for the hedger and the hedge provider, and then employ the one-factor Gauss copula to describe the default correlation between the two parties. This work provides a framework to measure bilateral counterparty credit risk of longevity-linked securities. | en_US |
| dc.description.note | October 2017 | en_US |
| dc.identifier.citation | Hao, 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.uri | http://hdl.handle.net/1993/32471 | |
| dc.language.iso | eng | en_US |
| dc.publisher | Insurance: Mathematics and Economics | en_US |
| dc.rights | open access | en_US |
| dc.subject | BCVA | en_US |
| dc.subject | K-forward | en_US |
| dc.subject | LLCBD model | en_US |
| dc.subject | Longevity risk | en_US |
| dc.subject | Nelson-Siegel yield rate function | en_US |
| dc.subject | One-factor Gauss copula | en_US |
| dc.title | On bilateral counterparty credit risk in longevity-linked security | en_US |
| dc.type | master thesis | en_US |