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dc.contributor.supervisor Hao, Xuemiao (Warren Centre for Actuarial Studies and Research) en_US
dc.contributor.author Wei, Linghua
dc.date.accessioned 2017-09-06T20:58:24Z
dc.date.available 2017-09-06T20:58:24Z
dc.date.issued 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.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.publisher Insurance: Mathematics and Economics 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.degree.discipline Management en_US
dc.contributor.examiningcommittee Pai, Jeffrey (Warren Centre for Actuarial Studies and Research), Paseka, Alexander (Accounting & Finance), Yang, Po (Statistics) en_US
dc.degree.level Master of Science (M.Sc.) en_US
dc.description.note October 2017 en_US


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