An Efficient, Distributable, Risk Neutral Framework for CVA Calculation
18 Pages Posted: 3 Oct 2010
Date Written: September 28, 2010
The importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008. Accurate valuation of Credit value adjustment (CVA) is essential to reflect the economic values of these risks. In the present article, we reviewed several different approaches for calculating CVA, and compared the advantage and disadvantage for each method. We also introduced an more efficient and scalable computational framework for this calculation.
Keywords: Counterparty credit risk, CVA, numerical computation
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