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加中金融

Figure 3. CVA Calculation

1. CVA本质上是非线性的，即使对于线性投资组合（例 1. CVA is inherently non-linear even for linear portfolios (e.g., IRS
如 IRS 组合），Vega 风险不能忽略。 portfolios), so Vega risk cannot be ignored.
2. 在绿色框中的风险因子，大多数很容易被解释，但是 2. For Risk factors in the Green box, most are straightforward to
对于信用利差风险和利率风险，银行可以选择 Par rate define, but for IR and credit spread factors, the bank has the
或 Zero rate (从 Par rate 中演算)。每种方法各有优缺点。 discretion to either shock par rate or zero rate that is bootstrapped
Par rate 与对冲工具更匹配，但是很难直观解释。 from the par rates. Either approach has pros and cons. For the
3. CVA计算包括模拟和校准，各种冲击必须使用一致。 par rate, it aligns better with a hedging instrument, but makes it
difficult to interpret intuitively the sensitivity behavior.
你不能只对模拟部分进行冲击而不重新校准参数。 3. CVA calculation involves both the simulation and the calibration
4. 交易对手信用利差和相关信用利差必须区别对待。通 process, and the shocks must be applied consistently. You cannot
常来说有些交易对手没有流动性好的 CDS市场，需要 only shock the risk factors in the simulation model and do not
设计一种代替的方法，这也是数据映射困难的地方。 re-calibrate the parameters.
4. For counterparty credit spread and reference credit spread, two
套期确认 types of roles have to be separated. Typically, there will be
counterparties that don't have a liquid CDS market, so a proxy
套期确认大幅改进了 CVA 资本要求。 methodology needs to be designed. That's the messy part of all
the data mapping work.
1. 现在的 CVA 包括市场风险和信用利差风险，对于以
上两种风险的套期被确认了。银行现在不会面临对冲 HEDGING RECOGNITION
会计 CVA 还是资本的困境，它们将更加统一。
2. 不拆分：不同目的的套期不能被拆分。举例，在一个 Hedging recognition is the area that dramatically improves the
previous CVA capital requirement.
套期组合中，有 CDS，银行可以使用 CDS 对冲组合
中的某笔交易，或对冲交易对手信用利差，但是这两 1. Because CVA captures both the market risk and credit spread
部分不能被拆分，它们被视为一个整体。 risk components, the hedging for both components are
3. 套期交易可以不计入市场风险资本，但是他们依旧属 recognized. Banks are now not faced with the dilemma whether
to hedge the accounting CVA or the capital, and they will be
于 CVA 资本，但是总体而言，它依旧降低了资本。 more aligned.
4. 指数套期：之前要求银行分解指数并对逐个对冲，但 2. No Splitting: the transactions among different roles of the
是现在如果特定标准被满足，银行可以选择将他们视 hedging cannot be split. For example, if there is a CDS among
为整体对待。 the hedging portfolio, banks can use the CDS to hedge a trade in
this portfolio or hedge the counterparty credit spread, but two
components cannot be split, so they have to be treated as a whole
entity.
3. Hedging trades can be taken out from market risk capital, but
they themselves will attract the CVA capital, so in general it still
lowers the capital overall.
4. Index Hedge: Previously required to break down the
composition of index and shock one-by-one, but recently there
when certain conditions are met.

CCFA JOURNAL OF FINANCE DECEMBER 2020
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