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G-2018-13

Counterparty risk: CVA variability and value at risk

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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.

, 20 pages

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Journal of Risk, 21(5), 1–28, 2019 BibTeX reference