Recent Comments
Vincent on A crash course in CVA cal… Alluve on A crash course in CVA cal… Vincent on A crash course in CVA cal… Alluve on A crash course in CVA cal… Alluve on CVA calculation example
Tag Archives: counterparty exposure
Historical or implied?
To calculate counterparty exposure, we need to calibrate our scenario generator to historical data. However, for CVA calculations, we need scenarios based on implied volatilities of the underlying risk factors. Continue reading
Posted in Finance
Tagged counterparty exposure, credit value adjustment, CVA, EAD, historical volatility, implied volatility
Leave a comment
Exposures are not additive: case in point
Potential exposure is not additive: the total exposure on two trades can be very different than the sum of potential exposures on each trade. Continue reading
Alluve 