Σύγκριση μεθόδων

	Προσαρμογή Αξίας Πιστωτικού Κινδύνου	Προσαρμογή Αποτίμησης Χρέους (Debit Valuation Adjustment)
Πεδίο	Ποσοτική Χρηματοοικονομική	Ποσοτική Χρηματοοικονομική
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	2000s	2000s
Δημιουργός	Jon Gregory	Jon Gregory, Christoph Burgard
Τύπος	Valuation Framework	Valuation Framework
Θεμελιώδης πηγή	Gregory, J. (2009). Counterparty Credit Risk: The New Challenge for Global Financial Markets. John Wiley & Sons.	Gregory, J. (2009). Counterparty Credit Risk: The New Challenge for Global Financial Markets. John Wiley & Sons.
Εναλλακτικές ονομασίες	CVA, Counterparty Risk Adjustment	Own Credit Adjustment, OCA
Συναφείς	3	3
Σύνοψη	Credit Valuation Adjustment (CVA) is the market price of counterparty credit risk embedded in over-the-counter (OTC) derivatives. CVA measures the loss from counterparty default, accounting for both the probability of default and the exposure at that time. It has become a key component of derivative valuation and risk management since the 2008 financial crisis.	Debit Valuation Adjustment (DVA) represents the value of your own credit risk to counterparties. DVA measures the gain in derivative value if you default on your obligations—a benefit for your shareholders because creditors receive less than the full derivative value. DVA is controversial but now mandatory under IFRS 13 for fair value accounting.