One-factor Hull-White Model Calibration for CVA - Part I: Instrument Selection With a Kink

Wilmott Magazine, November 2020, 72-76

6 Pages Posted: 2 Sep 2020 Last revised: 9 Dec 2020

Date Written: July 9, 2020

Abstract

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 the selection of the mean reversion parameter. In both expositions we present long-term time series results for EUR, JPY, and USD, covering the period from the beginning of 2009 (at the earliest) to spring 2020.

Keywords: xVA, Hull-White interest rate model, instrument selection for calibration, time series

JEL Classification: G

Suggested Citation

Puetter, Christoph M and Renzitti, Stefano, One-factor Hull-White Model Calibration for CVA - Part I: Instrument Selection With a Kink (July 9, 2020). Wilmott Magazine, November 2020, 72-76 , Available at SSRN: https://ssrn.com/abstract=3659430 or http://dx.doi.org/10.2139/ssrn.3659430

Christoph M Puetter (Contact Author)

S&P Global

1066 W Hastings St
Vancouver, British Columbia V6E 3X1
Canada

Stefano Renzitti

S&P Global ( email )

1066 West Hastings Street
Vancouver, British Columbia V6E 3X1
Canada

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