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Chapter 21: Credit Valuation Adjustment (CVA)

In this section

  • Definition and Components of CVA
    Learn how Credit Valuation Adjustment (CVA) incorporates counterparty default risk into derivative valuations, covering Expected Exposure, Probability of Default, Loss Given Default, and discounting. Explore key regulatory aspects and real-world applications.
  • Measuring Credit Exposure Over Time
    An in-depth look at how to measure credit exposures, from current exposure to advanced simulation approaches, for accurate CVA computation.
  • Practical Approaches to CVA Hedging
    Explore practical strategies for offsetting counterparty credit risk in derivative transactions through CVA hedging, including single-name CDS, index approaches, and dynamic hedge adjustments.
  • Vignette: Calculating and Interpreting CVA
    Explore a practical CFA® Level II-style scenario on Credit Valuation Adjustment (CVA)—calculating, interpreting, and managing counterparty credit risk in an interest rate swap through netting, collateralization, and sensitivity analysis.
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Chapter 20: Reduced-Form Credit Risk Models
Chapter 22: Term Structure of Credit Spreads