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Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study

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2013-10
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We analyze the effects of the financial crisis in credit valuation adjustments (CVA's). Following the arbitrage-free valuation framework presented in Brigo et al. (2009), we consider a model with stochastic Gaussian interest rates and CIR++ default intensities. Departing from previous literature, we are able to calibrate default intensities profiting from Gaussian mapping techniques presented in Brigo and Alfonsi (2004), and reproduce the historically observed instantaneous covariances of CDS prices. To test the calibration procedure, we track the Spanish financial sector, who has behaved in a singular manner through the crisis, regarded among the safest in Europe at the beginning, and in need of a partial bailout a few years later. We calculate adjustments involving the two major Spanish banks and a generic European counterpart in these two situations for both interest rate and credit derivatives.
En este trabajo se analizan los efectos de la crisis financiera en los ajustes por valoración de riesgo de crédito. Siguiendo el marco de valoración libre de riesgo presentado en Brigo et al. (2009), se considera un modelo híbrido estocástico con tipos de interés gaussianos e intensidades de quiebra CIR++. A diferencia de literatura anterior, se calibran las intensidades de quiebra aprovechando las técnicas de mapeo gaussiano mostradas en Brigo y Alfonsi (2004), reproduciendo las covarianzas instantáneas históricas observadas de precios de permutas de incumplimiento crediticio. Este procedimiento de calibración se prueba sobre el sector financiero español, que ha seguido un comportamiento singular durante la crisis reciente, pasando de ser considerado de los más sólidos de Europa a necesitar un rescate parcial pocos años después. Se calculan ajustes involucrando a los dos mayores bancos españoles y a una contraparte europea genérica en ambas situaciones para derivados de tipos de interés y de crédito.
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Este trabajo es parte de mi tesis doctoral en Banca y Finanzas Cuantitativas, supervisado por Alfonso Novales Cinca, del Departamento de Economía Cuantitativa de la Universidad Complutense de Madrid. Quiero expresar mi agradecimiento por los comentarios y observaciones a José Manuel López, Juan Antonio de Juan y Daniel Andrés.
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https://hdl.handle.net/20.500.14352/41510
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