Please use this identifier to cite or link to this item:
https://hdl.handle.net/2445/174834
Title: | Valor razonable de un swap: CVA y DVA. Una aproximación binomial |
Author: | Badía Batlle, Carmen Galisteo, Merche Preixens, Teresa |
Keywords: | Interès Crèdit Interest Credit |
Issue Date: | 5-Nov-2020 |
Publisher: | Elsevier España |
Abstract: | The IFRS 13 is in force, in Spain, since January 1st, 2013. According to this standard, to obtain fair value of financial derivatives, adjustments for credit risk must be made. From an accounting point of view, credit risk adjustments are necessary for financial institutions and for all those entities that apply PGC 1514/2007. This paper, with an educational orientation, shows how to obtain in a simplified way the fair value of a generic interest rate swap. This fair value is its free risk value less CVA, or negative adjustment by the counterparty's risk of default, and plus DVA, which is the provision or positive adjustment for its own risk of default. To calculate CVA/DVA is necessary to know the expected exposure of the swap, which is obtained from a binomial model of forward interest rates. Also, it's necessary to determinate default probabilities, which are derived from credit spreads of corporate bonds. |
Note: | Reproducció del document publicat a: https://doi.org/10.32826/cude.v42i122.202 |
It is part of: | Cuadernos de Economía: Spanish Journal of Economics and Finance, 2020, vol. 43, num. 122, p. 105-242 |
URI: | https://hdl.handle.net/2445/174834 |
Related resource: | https://doi.org/10.32826/cude.v42i122.202 |
ISSN: | 0210-0266 |
Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
699966.pdf | 555.95 kB | Adobe PDF | View/Open |
This item is licensed under a
Creative Commons License