CVA di un portafoglio di interest rate swaps con il metodo Monte Carlo

The global financial crisis has introduced a growing interest in counterparty risk, deriv- ing from the large number of defaults experienced by important financial institutions. The regulatory framework financial agents operate in has consequently become more complex and precise in evaluating this kind of risk, and Basel III represents only one example of international financial regulation that emerged since. For this reason, the concept of Credit Value Adjustment has been introduced, in order to quantify the ex- posure an agent has with its counterparty in a financial operation, in OTC markets in particular. This dissertation contains an example on how the CVA can be calculated on a portfolio of interest rate swaps with different counterparties; the simulation proce- dures are implemented via a Monte Carlo method, within the simulation environment MATLAB. The first issue is the evaluation of the portfolio at time zero and at the future dates, resulting in different scenarios according to the evolution of the interest rates paths. Then the expected exposure is estimated, and consequently the CVA to each counterparty. This study provides a solid basis for future implementations, since it provides a starting point for the analysis of the wrong-way risk, for example, and of other critical topics dealing with counterparty risk.