It can be used by investors, risk managers, and regulators to check the accuracy of a margining system. The statistical tests presented in this study are based either on the number, frequency, magnitude, or timing of margin exceedances, which are de. By Christophe Perignon and Daniel R. 1 585 442 8170 outside of the United States, 8:30AM to 6:00PM U.
Our approach is based on a weighted average of expectile-based VaR and ES models, i. First, we briefly present the main non-parametric, parametric and semi-parametric estimation methods for VaR and ES. We present a multivariate version of a structural default model with jumps and use it in order to quantify the bilateral credit value adjustment and the bilateral debt value adjustment for equity contracts, such as forwards, in a Merton-type default setting. In particular, we explore the impact of changing correlation between names on these adjustments and study the effect of wrong-way and right-way risk.