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CVA and FVA Risk Management

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

Abstract

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.

Keywords

Credit Risk Implied Volatility Swap Rate Financial Derivative Tail Risk 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Dongsheng Lu 2015

Authors and Affiliations

  • Dongsheng Lu

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