| Summary: | 碩士 === 東吳大學 === 財務工程與精算數學系 === 101 === Counterparty credit risk (CCR) is a contract within the validity period counterparties fail to fulfill a contractual obligation may result in the risk of loss. Basel Committee on Banking Supervision in 2011 report that the 2008 financial tsunami, the about two-thirds of the loss was caused by the CCR,therefore CCR began to receive attention.Basel III will measure the CCR indicator called credit valuation adjustment (CVA). CVA calculation process needs to be calibrated counterparty default intensity. Obtained by the simulation method can default swap the CVA and value. Based on the same assumption, get the counterparty default intensity calibration approximate analytical solution, and the CIR interest rate model assumptions, by the simulation can be obtained default interest rate swap (IRS) of the CVA. Finally, compare the different intensity of counterparty default calibration method and the Basel III adopted default intensity calibration method CVA may breach the IRS for its Value.The results show that the proposed counterparty default intensity calibration of the approximate analytic solution, the resulting value of the IRS and its CVA calculation with accurate and fast characteristics.
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