Книга: Fred Hoffman «Credit Valuation Adjustment (CVA)»
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Производитель: "LAP Lambert Academic Publishing" Credit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on the valuation of OTC derivatives. This becomes critical when the credit risk of entities involved in a contract either as underlying or counterparty become highly correlated as is the case during macroeconomic shocks. It impacts the valuation of such contracts through an additional term, the credit valuation adjustment (CVA). This can become large with such correlation. This book outlines the main approaches to credit risk modelling, intensity and structural. It gives important examples of both and particular examples useful in the calculation of CVA, the intensity model of Brigo and the structural model of Hull and White. It details Brigo s market standard, model independent, framework for derivatives valuation with CVA. It does this for both its unilateral form where only one counterparty is credit risky and also for its bilateral form where both counterparties are credit... ISBN:9783659248504 Издательство: "LAP Lambert Academic Publishing" (2012)
ISBN: 9783659248504 |
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См. также в других словарях:
Credit Valuation Adjustment — Credit value adjustment (CVA) is by definition the difference between the risk free portfolio value and the true portfolio value that takes into account the possibility of a counterparty’s default. In other words, CVA is the market value of… … Wikipedia
Collateral Valuation Adjustments — Collateral Valuation Adjustment (CVA) or Appraisal Subordination Entitlement Reduction (ASER) are CMBS structuring innovations desined to improve overall transaction credit quality. Collateral Valuation Adjustments were created in response to… … Wikipedia
Collateral valuation adjustments — Collateral valuation adjustment (CVA) or appraisal subordination entitlement reduction (ASER) are CMBS structuring innovations designed to improve overall transaction credit quality. Collateral valuation adjustments were created in response to… … Wikipedia
Appraisal subordination entitlement reduction — (ASER) or Collateral Valuation Adjustments (CVA) are CMBS structuring innovations desined to improve overall transaction credit quality. Appraisal Reductions were created in response to rating agency concerns that, without such an adjustment,… … Wikipedia
