{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/an-introduction-to-rating-triggers-for","title":"An introduction to rating triggers for collateral-inclusive XVA in an ICTMC framework","arxiv_id":"2207.03883","date":"2022-07-08","proceeding":null,"authors":["Kevin Kamm"],"abstract":"In this paper, we model the rating process of an entity as a piecewise homogeneous continuous time Markov chain. We focus specifically on calibrating the model to both historical data (rating transition matrices) and market data (CDS quotes), relying on a simple change of measure to switch from the historical probability to the risk-neutral one. We overcome some of the imperfections of the data by proposing a novel calibration procedure, which leads to an improvement of the entire scheme. We apply our model to compute bilateral credit and debit valuation adjustments of a netting set under a CSA with thresholds depending on ratings of the two parties.","url_abs":"https://arxiv.org/abs/2207.03883v1","url_pdf":"https://arxiv.org/pdf/2207.03883v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"an-introduction-to-rating-triggers-for","repo_url":"https://github.com/kevinkamm/ratingtriggers","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}