Abstract

In this paper we analyze the kth-to-default credit-linked notes (CLN) with counterparty risk by the reduced-form model. We study the structure of the kth-to-default CLN and present a general valuation framework for CLN values and counterparty valuation adjustments (CVA) under the conditional independence assumption. Explicit formulas of the kth-to-default CLN values and their CVAs are obtained by the PDE approach. Numerical simulations are conducted to show the effects of the correlated default risk on the kth-to-default CLN values and their CVAs.

中文翻译：

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在简化模型中评估具有交易对手风险的第 k 个违约信用挂钩票据

摘要

在本文中，我们通过简化模型分析了具有交易对手风险的第 k 个违约信用挂钩票据 (CLN) 。我们研究了第 k个违约 CLN的结构，并在条件独立假设下提出了 CLN 价值和交易对手估值调整 (CVA) 的一般估值框架。第 k个默认 CLN 值及其 CVA 的显式公式是通过 PDE 方法获得的。进行数值模拟以显示相关违约风险对第k个违约 CLN 值及其 CVA 的影响。