Credit Valuation Adjustment (CVA) Introduction
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24.10.2020
Co-author
Affiliation
BMO
Main category
Social Sciences (Economics)
Abstract
Credit valuation adjustment (CVA) is the market price of counterparty credit risk that has become a central part of counterparty credit risk management. By definition, CVA is the difference between the risk-free portfolio value and the true/risky portfolio value. In practice, CVA should be computed at portfolio level. That means calculation should take Master agreement and CSA agreement into account.
Further information
Further reading
Language
English
DOI
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