Knowledge Base

Welcome to our Knowledge Base, here you find a number of posts dealing with various aspects of financial risk.




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.

CVA


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













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