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Tim Xiao deposited Credit Valuation Adjustment (CVA) Introduction in the group
Business Management on Humanities Commons 5 years, 3 months ago Credit valuation adjustment (CVA) is the market price of counterparty credit risk that has become a central part of counterparty credit risk management. By definition, CVA is the difference between the risk-free portfolio value and the true/risky portfolio value. In practice, CVA should be computed at portfolio level. That means calculation should take Master agreement and CSA agreement into account.