Credit Valuation Adjustment (CVA) Analytics

Name: Credit Valuation Adjustment (CVA) Analytics
Creator: Yang, Alex
Keywords: Credit value adjustment, CVA, credit risk, valuation, risk management, counterparty risk

descriptionPublicationkeyboard_double_arrow_right Presentation 08 May 2022 English Publisher:Zenodo

Authors: Yang, Alex;

doi: 10.5281/zenodo.4016320 , 10.5281/zenodo.6533799

Credit Valuation Adjustment (CVA) Analytics

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Abstract

Credit Valuation Adjustment (CVA) is the difference in value of an OTC derivatives position due to counterparty credit risk. More informally, think of CVA as the fair value of buying protection against the counterparty’s potential failure to meet contractual obligations. From this perspective, calculation of CVA is a pricing exercise similar to option pricing.

https://ia801000.us.archive.org/32/items/alex_Cva_201804/cva-4.pdf

Keywords

Credit value adjustment, CVA, credit risk, valuation, risk management, counterparty risk

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Credit Valuation Adjustment (CVA) Introduction
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