CVA calculation for CDS on super senior ABS CDO

Hui Li

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Credit Value Adjustment; Super Senior ABS CDO; Monoline insurer (search for similar items in EconPapers)
JEL-codes: G32 (search for similar items in EconPapers)
Date: 2008-08
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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