Results 81 to 90 of about 2,638 (100)

Cash CVA -- Credit Valuation Adjustment in the Cash Form

SSRN Electronic Journal, 2021
Credit default swaps (CDS) are unfunded, or the synthetic form of credit exposure, while bonds are fully funded, thus the cash form. Borrowing this industry jargon, credit valuation adjustment (CVA) would be seen synthetic, because it is defined as the present value of buying a default protection on counterparty exposure through CDS.
W. Lou
openaire   +2 more sources

Credit Valuation Adjustment (CVA)

SSRN Electronic Journal, 2008
This paper provides an overview of counterparty default risk and counter-party valuation adjustments, within the context of collateralized and un-collateralized trading relationships. The counterparty valuation adjustment terms are derived by decomposing an un-defaultable portfolio into a set of binary states.
Shahram Alavian, Jie Ding, Peter Whitehead, Leonardo Laudicina   +3 more
openaire   +2 more sources

Navigating credit valuation adjustment (CVA) under CRR III : A comparative analysis of SA-CVA, BA-CVA and SI-CVA

Journal of Risk Management in Financial Institutions
The adoption of Capital Requirements Regulation (CRR) III in 2024 introduced a new regulatory architecture for credit valuation adjustment (CVA), requiring financial institutions to align capital buffers with evolving counterparty credit risk. This paper provides a comparative analysis of the standardised (SA-CVA), basic (BA-CVA) and simplified (SI-CVA)
Daniela Gellenbeck, Hermann Schulte-Mattler   +1 more
openaire   +2 more sources

Counterparty Risk: Credit Valuation Adjustment Variability and Value-At-Risk

Journal of Risk, 2019
The third installment of the Basel Accords advocates a capital charge against credit valuation adjustment (CVA) variability. We propose an efficient numerical approach that allows us to compute risk measures for the CVA process by assessing the ...
M. Breton, Oussama Marzouk
semanticscholar   +1 more source

Fast and Stable Credit Gamma of CVA

Social Science Research Network, 2023
Credit Valuation Adjustment is a balance sheet item which is nowadays subject to active risk management by specialized traders. However, the most important risk factors, which are the default intensities of the counterparties, affect in a ...
Roberto Daluiso
semanticscholar   +1 more source

A method for pricing the credit valuation adjustment of unlisted companies

Journal of Risk Management in Financial Institutions, 2019
Estimating the credit valuation adjustment (CVA) for unlisted companies is a challenging issue because it is not possible to estimate the risk neutral default probability from either the credit default swap (CDS) par spread or equity stock.
Matteo Formenti
semanticscholar   +1 more source

Credit Valuation Adjustment Wrong-Way Risk in a Gaussian Copula Model

, 2019
The credit valuation adjustment (CVA) is currently calculated in financial institutions to measure counterparty credit risk (CCR) on over-the-counter derivatives. A key factor in CVA is wrong-way risk (WWR): the correlation between counterparty exposures
Kelin Pan, Chandra Khandrika
semanticscholar   +1 more source

Credit valuation adjustment tail risk and the impact of wrong way trades

Journal of Risk Management in Financial Institutions, 2013
Actively pricing and hedging credit valuation adjustment (CVA) has quickly emerged as a core function in banks. One of the major functions of the CVA desk is to risk manage CVA.
Jimmy Skoglund, Douglas Vestal, Wei Chen
semanticscholar   +1 more source