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Credit Valuation Adjustment/Ushahidi
Rekodi ya ushahidi wa mbinu

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.

Sources recorded, not reviewed

Rekodi ya chanzo

Nukuu zimehamishwa kwa uhalisi kutoka kwa rekodi ya chanzo cha mbinu. Hakuna uthibitisho wa kiwango cha dai unaodokezwa kutoka kwao.

Credit Valuation Adjustment (CVA)
Rekodi ya mbinu ya kiajenda · regression-model / quantitative-finance
  • Gregory, J. (2009). Counterparty Credit Risk: The New Challenge for Global Financial Markets. John Wiley & Sons. · URL
  • Pykhtin, M., & Zhu, S. (2007). A guide to modeling counterparty credit risk. GARP Risk Review, 1, 16-33. · URL
Fungua mbinu kamili

Madai yaliyotunzwa

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Hakuna madai yaliyotunzwa bado

Mwonekano huu haubuni tathmini ya dai wakati daftari haina yoyote.

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Taxonomic bucketDebit Valuation Adjustmentmachine-suggested · Relational suggestion, not evidence.Same method familyMerton Default Modelmachine-suggested · Relational suggestion, not evidence.Same method familyRisk-Neutral Valuationmachine-suggested · Relational suggestion, not evidence.

Hali ya ushahidi

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Vyanzo

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Vitendo

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