Credit Valuation Adjustment (CVA) Introduction

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

Yang, Alex

Found an issue? Give us feedback

ZENODOarrow_drop_down

ZENODO

Presentation . 2020

License: CC BY

Data sources: Datacite

Credit Valuation Adjustment (CVA) Introduction

descriptionPublicationkeyboard_double_arrow_right Presentation 05 Sep 2020 English Publisher:Zenodo

Authors: Yang, Alex;

doi: 10.5281/zenodo.4016321

Credit Valuation Adjustment (CVA) Introduction

- Summary
- Subjects
- Related research
  (1)
- Metrics

Abstract

Credit valuation adjustment (CVA) is the market price of counterparty credit risk that has become a central part of counterparty credit risk management. By definition, CVA is the difference between the risk-free portfolio value and the true/risky portfolio value. In practice, CVA should be computed at portfolio level. That means calculation should take Master agreement and CSA agreement into account.

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

1 Research products, page 1 of 1

Credit Valuation Adjustment (CVA) Analytics
2022IsVersionOf

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	0
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average