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Credit Valuation Adjustment (CVA) Introduction
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2020
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- Credit value adjustment, CVA, credit risk, valuation, risk management
- Permanent URL:
- http://dx.doi.org/10.17613/j4x5-1c79
- 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.
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 3 years ago
- License:
- All-Rights-Granted
- Share this:
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cva-4.pdf