摘要翻译：
我们分析存在双边保证金协议的CDS合约中的交易对手风险。首先，我们研究了抵押交易对手风险的定价，推导出双边信用估值调整(CVA)、单边信用估值调整(UCVA)和债务估值调整(DVA)。我们提出了一个模型的抵押品纳入所有相关因素，如阈值，折减和保证金期限的风险。我们用相关的跳跃鞅导出了双侧CVA的一般形式的动力学。我们还引入了利差值调整(SVA)来表示交易对手风险调整后的利差。推导了交易对手风险利差和交易对手无风险利差的动态关系，并由此得到了SVA的动态关系。最后，我们用一个马尔可夫copula模型来描述缺省强度，并用数值结果来说明我们的发现。
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英文标题：
《Counterparty Risk and the Impact of Collateralization in CDS Contracts》
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作者：
Tomasz R. Bielecki, Igor Cialenco, Ismail Iyigunler
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最新提交年份：
2011
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分类信息：

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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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  We analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. First, we investigate the pricing of collateralized counterparty risk and we derive the bilateral Credit Valuation Adjustment (CVA), unilateral Credit Valuation Adjustment (UCVA) and Debt Valuation Adjustment (DVA). We propose a model for the collateral by incorporating all related factors such as the thresholds, haircuts and margin period of risk. We derive the dynamics of the bilateral CVA in a general form with related jump martingales. We also introduce the Spread Value Adjustment (SVA) indicating the counterparty risk adjusted spread. Counterparty risky and the counterparty risk-free spread dynamics are derived and the dynamics of the SVA is found as a consequence. We finally employ a Markovian copula model for default intensities and illustrate our findings with numerical results.
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PDF链接：
https://arxiv.org/pdf/1104.2625