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The Cost of Counterparty Risk and Collateralization in Longevity Swaps

机译：长寿掉期中对手方风险和抵押的成本

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摘要

Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow pension schemes, and annuity providers to swap out longevity risk, but introduce counterparty credit risk, which can be mitigated if not fully eliminated by collateralization. We examine the impact of bilateral default risk and collateral rules on the marking to market of longevity swaps, and show how longevity swap rates must be determined endogenously from the collateral flows associated with the marking-to-market procedure. For typical interest rate and mortality parameters, we find that the impact of collateralization is modest in the presence of symmetric default risk, but more pronounced when default risk and/or collateral rules are asymmetric. Our results suggest that the overall cost of collateralization is comparable with, and often much smaller than, that found in the interest rate swaps market, which may then provide the appropriate reference framework for the credit enhancement of both indemnity-based and indexed longevity risk solutions.
机译：定制的长寿掉期和指数长寿掉期等衍生性长寿风险解决方案，允许退休金计划和年金提供者交换长寿风险，但引入了交易对手信用风险，如果不能通过抵押完全消除，则可以降低交易对手信用风险。我们研究了双边违约风险和抵押规则对长寿掉期市场标记的影响，并显示了必须如何从与标记市价程序相关的抵押品流量内生地确定长寿掉期利率。对于典型的利率和死亡率参数，我们发现在存在对称违约风险的情况下抵押权化的影响较小，但在违约风险和/或抵押品规则不对称的情况下抵押权化的影响更为明显。我们的结果表明，抵押品的总体成本与利率掉期市场上的抵押品成本相当，并且通常要比利率掉期市场小得多，这可能会为基于弥偿的和基于指数的长寿风险解决方案的信用增强提供适当的参考框架。 。

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  • 来源
    《The journal of risk and insurance》 |2016年第2期|387-419|共33页
  • 作者

    Biffis Enrico; Blake David; Pitotti Lorenzo; Sun Ariel;

  • 作者单位

    Imperial Coll London, Imperial Coll Business Sch, South Kensington Campus, London SW7 2AZ, England;

    Cass Business Sch, Pens Inst, 106 Bunhill Row, London EC1Y 8TZ, England;

    Credit Suisse Secur Ltd, One Cabot Sq, London E14 4QJ, England;

    Imperial Coll London, Imperial Coll Business Sch, South Kensington Campus, London SW7 2AZ, England;

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