Сравнение методов

	Корректировка кредитной оценки	Оценка корректировки стоимости обязательств (Debit Valuation Adjustment)
Область	Количественные финансы	Количественные финансы
Семейство	Regression model	Regression model
Год появления	2000s	2000s
Автор метода	Jon Gregory	Jon Gregory, Christoph Burgard
Тип	Valuation Framework	Valuation Framework
Основополагающий источник	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.
Другие названия	CVA, Counterparty Risk Adjustment	Own Credit Adjustment, OCA
Связанные	3	3
Сводка	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.