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- W1569392095 abstract "This chapter deals with counterparty risk pricing in the equity market. The models used in the chapter include AT1P and SBTV models. The authors assume that the counterparty firm value follows a classical firm value model, which they calibrate to the CDS of the counterparty. They also assume that the underlying equity for the equity return swaps (ERS) follows a GBM as well. This means that the underlying equity cannot default, since equity in a GBM never hits zero. The chapter describes a joint model for equity and credit based on a structural first passage model with time-dependent parameters and a realistic default barrier. The model is particularly suitable for the evaluation of counterparty risk in equity derivatives, since equity derivatives with counterparty risk require a hybrid credit-equity model. The chapter presents various examples of model calibration. It shows an application for the credit valuation adjustment (CVA) of equity options." @default.
- W1569392095 created "2016-06-24" @default.
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- W1569392095 date "2013-03-15" @default.
- W1569392095 modified "2023-09-25" @default.
- W1569392095 title "Unilateral CVA for Equity with WWR" @default.
- W1569392095 doi "https://doi.org/10.1002/9781118818589.ch8" @default.
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