15. Counterparty Valuation Adjustments

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Harvey J. Stein and
  2. Kin Pong Lee

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch15

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) Counterparty Valuation Adjustments, 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.ch15

Author Information

  1. Bloomberg LP

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:

  • financial crisis;
  • counterparty valuation adjustment;
  • over-the-counter;
  • counterparty risk;
  • credit support annex

Summary

This chapter contains sections titled:

  • Introduction

  • Counterparty Risk

  • Counterparty Valuation Adjustment (CVA)

  • Modeling the CVA

  • CVA Calculations for Bonds

  • CVA Calculations for Swaps

  • Example Calculation

  • Hedging

  • Wrong-Way Risk and Recovery Risk

  • Accounting Considerations

  • Conclusion

  • Notes