Cva credit valuation adjustment pdf

This page was last edited on 10 January 2017, at 17:24. This price can be cva credit valuation adjustment pdf into two components. Otherwise the intrinsic value is zero.

50 advantage even if the option were to expire today. 50 is the intrinsic value of the option. The option premium is always greater than the intrinsic value. This is called the Time value. Time value is the amount the option trader is paying for a contract above its intrinsic value, with the belief that prior to expiration the contract value will increase because of a favourable change in the price of the underlying asset.

The longer the length of time until the expiry of the contract, the greater the time value. There are many factors which affect option premium. These factors affect the premium of the option with varying intensity. An increase in the underlying price increases the premium of call option and decreases the premium of put option.

Reverse is true when underlying price decreases. Strike price: How far is the strike price from spot also affects option premium. 5000 to 5100 the premium of 5000 strike and of 5100 strike will change a lot compared to a contract with strike of 5500 or 4700. Volatility of underlying: Underlying security is a constantly changing entity. The degree by which its price fluctuates can be termed as volatility. Volatility affects calls and puts alike.

Higher volatility increases the option premium because of greater risk it brings to the seller. Payment of Dividend: Payment of Dividend does not have direct impact on value of derivatives but it does have indirect impact through stock price. We know that if dividend is paid, stock goes ex-dividend therefore price of stock will go down which will result into increase in Put premium and decrease in Call premium. The OIS is chosen here as it reflects the rate for overnight unsecured lending between banks, and is thus considered a good indicator of the interbank credit markets. This page was last edited on 17 December 2017, at 09:04. Un article de Wikipédia, l’encyclopédie libre. Le CVA est défini, au niveau d’un portefeuille ou d’un contrat, comme la différence entre la valorisation sans risque et la valorisation qui tient compte de la probabilité de défaut.

Calculer le CVA sous-entend une modélisation du risque de défaut préalable. Dans cette formule, l’exposition est supposée indépendante de la probabilité de défaut. En pratique, certains dérivés ne respectent pas cette condition et peuvent au contraire présenter une très forte corrélation entre l’exposition et la probabilité de défaut. C’est le cas par exemple d’un swap entre une banque et un producteur de pétrole où la banque reçoit un montant fixe et paye un montant variable correspondant au prix du pétrole : si le prix chute, le risque de défaut augmente parallèlement à l’exposition. Vous pouvez modifier cette page ! Rechercher les pages comportant ce texte.

La dernière modification de cette page a été faite le 5 octobre 2017 à 15:29. Licence Creative Commons Attribution – partage dans les mêmes conditions 3. Further documentation is available here. The Counterparty Credit Risk course will provide crucial knowledge on understanding the role of counterparty credit risk in a company’s risk performance. It covers multiple dimensions from banking issues, regulatory issues, accounting issues to derivatives valuation and trading issues. The program requires basic knowledge about derivatives and is mostly non-technical. Pierre’s research interests lie in the areas of empirical tests of asset pricing models, options pricing models and empirical corporate finance.