In the preceding two articles of this series, “Part I: CVA - Lessons and Out-comes from the Financial Credit Crisis” and “Part II: CVA Pricing Frame-works”, we have presented the meaning of credit value adjustment (CVA) and how banks’ usage of CVA can be categorized. Part II continued by introducing the difference between unilateral CVA (UCVA) and bilateral CVA (BCVA) along with four different 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.