Knowledge Base Articles
PART III: Cva Pricing Frameworks
In this article we finalize the CVA series by presenting a case study where the aim is to price the CVA of a vanilla interest rate swap (IRS) using the four different frameworks.
PART II: CVA Pricing Frameworks
In this article we will expand the concept of CVA by presenting different cases where the investor is seen as either risk-free or risky. We then present four different CVA pricing frameworks and discuss their level of sophistication.
CVA - Lessons and Outcomes from the Financial Credit Crisis
This article will focus on explaining what CVA is as well as regulatory measures regarding CVA. In later parts of this series, we will describe and evaluate different methods for modelling CVA.
Is CVA calculations a motivated tool when pricing derivatives?
In the latest issue of Risk.net magazine, esteemed professors Rama Cont and Riccardo Rebonato took part in a panel discussion where they questioned the legitimacy of using credit value adjustment (CVA) when pricing derivatives.