摘要翻译：
人们普遍认为，在一些简化的假设下，商品期货和远期价格原则上是一致的。最相关的假设之一是不存在交易对手风险。事实上，由于保证金，期货实际上没有对手风险。相反，当与经纪商或外部结算所交易时，或当嵌入掉期等其他合约时，远期可能承担交易对手的全部违约风险。在这篇论文中，我们着重于能源、商品，特别是石油。我们使用一个混合商品-信用模型来评估交易对手风险在定价公式中的影响，包括违约概率的总体影响以及信用利差波动率、商品波动率和信用-商品相关性的微妙影响。我们通过一个基于石油互换的案例研究来说明我们的一般方法，表明对手方风险的准确估值取决于挥发和相关性，不能通过预定义的乘数来精确解释。
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英文标题：
《Counterparty risk valuation for Energy-Commodities swaps: Impact of
  volatilities and correlation》
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作者：
Damiano Brigo, Kyriakos Chourdakis, Imane Bakkar
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  It is commonly accepted that Commodities futures and forward prices, in principle, agree under some simplifying assumptions. One of the most relevant assumptions is the absence of counterparty risk. Indeed, due to margining, futures have practically no counterparty risk. Forwards, instead, may bear the full risk of default for the counterparty when traded with brokers or outside clearing houses, or when embedded in other contracts such as swaps. In this paper we focus on energy commodities and on Oil in particular. We use a hybrid commodities-credit model to asses impact of counterparty risk in pricing formulas, both in the gross effect of default probabilities and on the subtler effects of credit spread volatility, commodities volatility and credit-commodities correlation. We illustrate our general approach with a case study based on an oil swap, showing that an accurate valuation of counterparty risk depends on volatilities and correlation and cannot be accounted for precisely through a pre-defined multiplier.
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PDF链接：
https://arxiv.org/pdf/0901.1099