Abstract

http://ssrn.com/abstract=1310226
 
 

References (7)



 


 



Credit Valuation Adjustment (CVA)


Shahram Alavian


Royal Bank of Scotland (RBS); Barclays Capital; Lehman Brothers Europe; Toronto-Dominion (TD) Bank Financial Group - TD Securities

Jie Ding


Lehman Brothers

Peter Whitehead


Lehman Brothers

Leonardo Laudicina


Lehman Brothers

August 28, 2008


Abstract:     
This paper provides an overview of counterparty default risk and counter-party valuation adjustments, within the context of collateralized and un-collateralized trading relationships. The counterparty valuation adjustment terms are derived by decomposing an un-defaultable portfolio into a set of binary states. These states are a set of market values (positive or negative), default states (default or no default) and recoveries (recover the the recovery amount or not). In particular, the asset charge is formulated for both un-collateralized and collateralized portfolios while different models are provided for the collateral transfer calculations of the collateralized trading accounts.

Number of Pages in PDF File: 22

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Date posted: December 2, 2008 ; Last revised: October 19, 2010

Suggested Citation

Alavian, Shahram and Ding, Jie and Whitehead, Peter and Laudicina, Leonardo, Credit Valuation Adjustment (CVA) (August 28, 2008). Available at SSRN: http://ssrn.com/abstract=1310226 or http://dx.doi.org/10.2139/ssrn.1310226

Contact Information

Shahram Alavian (Contact Author)
Royal Bank of Scotland (RBS) ( email )
135, Bishopsgate
EC2M 3UR London
United Kingdom
HOME PAGE: http://www.shahramalavian.net
Barclays Capital ( email )
5 Colonade
London E14 5LE
United Kingdom
022031346761 (Phone)
Lehman Brothers Europe ( email )
London
United Kingdom
Toronto-Dominion (TD) Bank Financial Group - TD Securities ( email )
6th Floor
TD Tower, 66 Willington Street West
Toronto, Ontario M5K 1A2
Canada
Jie Ding
Lehman Brothers ( email )
25 Bank Street
30th Floor
London E14 5LE
United Kingdom
Peter Whitehead
Lehman Brothers ( email )
25 Bank Street
30th Floor
London E14 5LE
United Kingdom
Leonardo Laudicina
Lehman Brothers ( email )
25 Bank Street
30th Floor
London E14 5LE
United Kingdom
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