摘要翻译：
我们得到了一个信用违约互换投资组合的双边交易对手估值调整的显式公式，该公式参考了一个渐近大量的实体。我们在一个双重随机强度框架下进行分析，允许通过一个共同的跳跃过程进行缺省相关性。我们的方法背后的关键洞察力是将投资组合暴露明确描述为与投资组合名称的生存指标相关的度量值过程的弱极限。我们通过数值分析验证了我们的理论预测，表明交易对手调整对投资组合信用风险波动性和违约相关性高度敏感。
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英文标题：
《Bilateral Credit Valuation Adjustment for Large Credit Derivatives
  Portfolios》
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作者：
Lijun Bo and Agostino Capponi
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最新提交年份：
2013
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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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英文摘要：
  We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We perform the analysis under a doubly stochastic intensity framework, allowing for default correlation through a common jump process. The key insight behind our approach is an explicit characterization of the portfolio exposure as the weak limit of measure-valued processes associated to survival indicators of portfolio names. We validate our theoretical predictions by means of a numerical analysis, showing that counterparty adjustments are highly sensitive to portfolio credit risk volatility as well as to default correlation.
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PDF链接：
https://arxiv.org/pdf/1305.5575