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| Ajustement de la valorisation du risque de crédit× | Ajustement de valorisation débiteur× | |
|---|---|---|
| Domaine | Finance quantitative | Finance quantitative |
| Famille | Regression model | Regression model |
| Année d'origine | 2000s | 2000s |
| Auteur d'origine≠ | Jon Gregory | Jon Gregory, Christoph Burgard |
| Type | Valuation Framework | Valuation Framework |
| Source fondatrice | 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 |
| Apparentées | 3 | 3 |
| Résumé≠ | 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. |
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