An Efficient, Distributable, Risk Neutral Framework For CVA Calculation

The importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008. Accurate valuation of Credit Value Adjustment (CVA) is essential to reflect the economic values of these risks. In the present paper, the authors reviewed several different approaches for calculating CVA, and compared the advantage and disadvantage for each method. They also introduced a more efficient and scalable computational framework for this calculation. The importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008.

Provided by: Cornell University Topic: Data Management Date Added: Sep 2010 Format: PDF

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