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: implied volatility
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
Alluve 