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Credit Valuation Adjustment [CVA]
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2014-10-27
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Credit Valuation Adjustment – also known as CVA - is closely followed regulatory measure that provides the method for the OTC derivative contract valuation correction due to a counterparty default. In this way, CVA can be seen as a provision to be held against a derivative transaction in the event of default. Computationally, CVA is a logical extension of the exposure method presented in the previous documents. Here we present Monte Carlo numerical CVA approach with a dependent swap rate hazard rate process and demonstrate why Mathematica 10 is ideally suited for this task.
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CVA, Counterparty risk, Credit risk
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| CVA with Mathematica 10.pdf (422.1 KB) - PDF Document |
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