Credit valuation adjustment for commodity derivatives

M.Phil.The recent financial crisis has highlighted the importance of counterparty default risk for derivatives valuation, which traditional financial practice fails to consider. This thesis deals with credit valuation adjustment for commodity derivatives, a topic that has not been well studied in the literature. I consider the situation in which an airline and an investment bank enter into a forward contract on crude oil with possible default of the airline. I propose a class of stochastic models for jointly modeling the crude oil price and the airlines default risk. These models can capture the salient features of mean reversion and jumps in crude oil prices, as well as generate dependence between crude oil prices and the airlines default risk. Furthermore, they are computationally tractable for pricing European style commodity futures options and calculating CDS spreads. I calibrate several model specifications from crude oil futures options data and the term structure of CDS spreads for three airlines. In general, our models are exible enough to achieve good calibration results. The impact of counterparty default risk on the forward price is studied via Monte Carlo simulation using calibrated model parameters. My results demonstrate that couterparty default risk can have a significant impact on the forward price in practice.近來的金融危機突顯了衍生品估值中交易對手違約風險的重要性，這也是傳統金融實踐未考慮到的。本論文主要研究商品衍生品的信用風險評估調整（CVA），這一課題在過去的文獻中尚未得到很好的研究。我們考慮一家投資銀行和一家航空公司簽訂的一份可能遭遇航空公司違約的原油遠期合約。我們提出了一組隨機模型，用於為原油價格和航空公司的違約風險進行聯合建模。這些模型可以捕捉到原油價格關於均值回歸和跳躍性的顯著特徵，並且考慮到了原油價格和航空公司違約風險之間的依賴關係。進一步的，它們對計算歐式商品期貨期權和計算信用違約互換（CDS）價差具有計算上的便利性。我們用原油期貨期權數據和三家航空公司的信用違約互換價差的數據校準了模型參數。總體來說，我們的模型足夠合適以獲得良好的校準結果。我們通過使用了已校準模型參數的蒙特卡羅方法來研究交易對手違約風險對遠期價格的影響。我們的結果表明在實踐中，交易對手違約風險會對遠期價格產生顯著影響。Li, Xuming.Thesis M.Phil. Chinese University of Hong Kong 2018.Includes bibliographical references (leaves 51-54).Abstracts also in Chinese.Title from PDF title page (viewed on …)