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- Credit_valuation_adjustment abstract "Credit value adjustment (CVA) is 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 counterparty credit risk. Unilateral CVA is given by the risk-neutral expectation of the discounted loss. The risk-neutral expectation can be written as where is the maturity of the longest transaction in the portfolio, is the future value of one unit of the base currency invested today at the prevailing interest rate for maturity , is the fraction of the portfolio value that can be recovered in case of a default, is the time of default, is the exposure at time , and is the risk neutral probability of counterparty default between times and . These probabilities can be obtained from the term structure of credit default swap (CDS) spreads.More generally CVA can refer to a few different concepts: The mathematical concept as defined above; A part of the regulatory Capital and RWA (Risk weighted asset) calculation introduced under Basel 3; The CVA desk of an investment bank, whose purpose is to: hedge for possible losses due to counterparty default; hedge to reduce the amount of capital required under the CVA calculation of Basel 3; The "CVA charge". The hedging of the CVA desk has a cost associated to it, i.e. the bank has to buy the hedging instrument. This cost is then allocated to each business line of an investment bank (usually as a contra revenue). This allocated cost is called the "CVA Charge".".
- Credit_valuation_adjustment wikiPageID "25962873".
- Credit_valuation_adjustment wikiPageRevisionID "577591747".
- Credit_valuation_adjustment hasPhotoCollection Credit_valuation_adjustment.
- Credit_valuation_adjustment subject Category:Actuarial_science.
- Credit_valuation_adjustment subject Category:Financial_risk.
- Credit_valuation_adjustment subject Category:Mathematical_finance.
- Credit_valuation_adjustment comment "Credit value adjustment (CVA) is 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 counterparty credit risk. Unilateral CVA is given by the risk-neutral expectation of the discounted loss.".
- Credit_valuation_adjustment label "Ajustement de valeur de crédit".
- Credit_valuation_adjustment label "Credit Valuation Adjustment".
- Credit_valuation_adjustment label "Credit valuation adjustment".
- Credit_valuation_adjustment label "信用評価調整".
- Credit_valuation_adjustment sameAs Credit_Valuation_Adjustment.
- Credit_valuation_adjustment sameAs Ajustement_de_valeur_de_crédit.
- Credit_valuation_adjustment sameAs 信用評価調整.
- Credit_valuation_adjustment sameAs m.0b6ngc0.
- Credit_valuation_adjustment sameAs Q2828882.
- Credit_valuation_adjustment sameAs Q2828882.
- Credit_valuation_adjustment wasDerivedFrom Credit_valuation_adjustment?oldid=577591747.
- Credit_valuation_adjustment isPrimaryTopicOf Credit_valuation_adjustment.