Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Оцінка знецінення боргу (Debit Valuation Adjustment)× | Коригування оцінки кредитного ризику (CVA)× | |
|---|---|---|
| Галузь | Кількісні фінанси | Кількісні фінанси |
| Родина | Regression model | Regression model |
| Рік появи | 2000s | 2000s |
| Автор методу≠ | Jon Gregory, Christoph Burgard | Jon Gregory |
| Тип | Valuation Framework | Valuation Framework |
| Основоположне джерело | 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 ↗ |
| Інші назви | Own Credit Adjustment, OCA | CVA, Counterparty Risk Adjustment |
| Пов'язані | 3 | 3 |
| Підсумок≠ | 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. | 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. |
| ScholarGateНабір даних ↗ |
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