One‐Factor Hull—White Model Calibration for CVA Part I: Instrument Selection with a Kink

This paper is the first of a multi‐part series on the calibration of the one‐factor Hull—White short rate model for the purpose of computing CVAs (and XVas) with an XVa system. It introduces an atypical bootstrapping scheme for the calibration of the short rate volatility. The second part focuses on...

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Veröffentlicht in:	Wilmott (London, England) England), 2020-11, Vol.2020 (110), p.72-76
Hauptverfasser:	Puetter, Christoph M., Renzitti, Stefano
Format:	Artikel
Sprache:	eng
Schlagworte:	Calibration Hull—White interest rate model instrument selection for calibration Interest rates Time series XVA
Online-Zugang:	Volltext
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