Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Ajuste por Valoración de Crédito× | Ajuste por Valoración de Débito× | |
|---|---|---|
| Campo | Finanzas cuantitativas | Finanzas cuantitativas |
| Familia | Regression model | Regression model |
| Año de origen | 2000s | 2000s |
| Autor original≠ | Jon Gregory | Jon Gregory, Christoph Burgard |
| Tipo | Valuation Framework | Valuation Framework |
| Fuente seminal | Gregory, J. (2009). Counterparty Credit Risk: The New Challenge for Global Financial Markets. John Wiley & Sons. link ↗ | Gregory, J. (2009). Counterparty Credit Risk: The New Challenge for Global Financial Markets. John Wiley & Sons. link ↗ |
| Alias | CVA, Counterparty Risk Adjustment | Own Credit Adjustment, OCA |
| Relacionados | 3 | 3 |
| Resumen≠ | 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. |
| ScholarGateConjunto de datos ↗ |
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