G-2018-13
Counterparty risk: CVA variability and value at risk
and BibTeX reference
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 to compute risk measures for the CVA\ process by assessing the distribution of the CVA at a given horizon. Numerical experiments are presented to illustrate the impact of various parameters and assumptions on the CVA distribution.
Published March 2018 , 20 pages
Research Axes
Research application
Publication
Jun 2019
and
Journal of Risk, 21(5), 1–28, 2019
BibTeX reference