Tag Archives: credit value adjustment

CVA calculation example

Posted on April 10, 2010 by Cyril

Let’s calculate CVA (credit value adjustment) analytically. We will see that analytical CVA calculation is quite complex even for a fairly simple transaction (a vanilla swap). A few shortcuts will help us simplify the calculation.

Posted in Finance | Tagged analytical calculation, credit value adjustment, CVA, equivalent martingale measure, expected exposure, interest rate swap | 2 Comments

Historical or implied?

Posted on November 13, 2009 by Cyril

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

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Tag Archives: credit value adjustment

CVA calculation example

Historical or implied?

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