Regression modelCredit Risk
Credit Valuation Adjustment
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.
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Sources
- Gregory, J. (2009). Counterparty Credit Risk: The New Challenge for Global Financial Markets. John Wiley & Sons. DOI: 10.1002/9781118310657 ↗
- Pykhtin, M., & Zhu, S. (2007). A guide to modeling counterparty credit risk. GARP Risk Review, 1, 16-33. link ↗