12. CVA Computation for Counterparty Risk Assessment in Credit Portfolios

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Samson Assefa,
  2. Tomasz R. Bielecki2,
  3. Stéphane Crépey3 and
  4. Monique Jeanblanc4

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch12

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

How to Cite

Bielecki, T. R., Brigo, D. and Patras, F. (2011) CVA Computation for Counterparty Risk Assessment in Credit Portfolios, in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531839.ch12

Author Information

  1. 2

    Professor of Applied Mathematics, Illinois Institute of Technology

  2. 3

    Université d'Évry Val d'Essonne and CRIS Consortium

  3. 4

    Université d'Évry Val d'Essonne, Europlace Institute of Finance, and CRIS Consortium

Publication History

  1. Published Online: 7 SEP 2012
  2. Published Print: 24 JAN 2011

ISBN Information

Print ISBN: 9781576603581

Online ISBN: 9781118531839

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Keywords:

  • counterparty risk;
  • credit valuation adjustment;
  • expected positive exposure;
  • Monte Carlo simulation;
  • Gaussian model

Summary

This chapter contains sections titled:

  • Introduction

  • General Counterparty Risk

  • Counterparty Credit Risk

  • Multivariate Markovian Default Model

  • Numerical Results

  • Acknowledgments

  • Notes