CVA and FVA Risk Management

  • Dongsheng Lu
Part of the Financial Engineering Explained book series (FEX)


CVA and FVA for derivative transactions are complex in that they can be driven by many different market risk factors in addition to the credit risk factors. Before discussing the risk management of CVA and FVA, it is worthwhile first looking at the basics of derivative valuation and risk management.


Credit Risk Implied Volatility Swap Rate Financial Derivative Tail Risk 
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© Dongsheng Lu 2015

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  • Dongsheng Lu

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