CVA calculation for CDS on super senior ABS CDO

The way monoline insurers estimate the FAS 157 credit value adjustments (CVA) on their ABS CDO insurance portfolios vastly overstates the benefits. We propose a simple method that is more accurate, especially when the counterparty default risk is high. The counterparty default recovery rate is also a critical input.

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Year of publication:	2008-08
Authors:	Li, Hui

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Li, Hui (2008): CVA calculation for CDS on super senior ABS CDO.
Classification:	G32 - Financing Policy; Capital and Ownership Structure
Source:	BASE

Persistent link: https://www.econbiz.de/10015218666