英文标题：
《Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments》
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作者：
Stephane Crepey, Andrea Macrina, Tuyet Mai Nguyen, David Skovmand
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最新提交年份：
2015
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英文摘要：
  We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model is sufficient to match market data with accuracy. We elucidate the relationship between the models developed and calibrated under a risk-neutral measure Q and their consistent equivalence class under the real-world probability measure P. The consistent P-pricing models are applied to compute the risk exposures which may be required to comply with regulatory obligations. In order to compute counterparty-risk valuation adjustments, such as CVA, we show how positive default intensity processes with rational form can be derived. We flesh out our study by applying the results to a basis swap contract.
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中文摘要：
我们开发了一个多曲线项结构设置，其中建模成分由马尔可夫过程的有理泛函表示。我们对伦敦银行同业拆借利率互换期权数据进行了校准，结果表明，合理的双因素对数正态多曲线模型足以准确匹配市场数据。我们阐明了在风险中性度量Q下开发和校准的模型与在现实世界概率度量P下的一致等价类之间的关系。一致P定价模型用于计算可能需要遵守监管义务的风险敞口。为了计算交易对手风险估值调整，例如CVA，我们展示了如何推导出有理形式的正违约强度过程。我们将研究结果应用于基差互换合约，从而充实了我们的研究。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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