Abstract
It is certainly important to capture the CVA of collateralized portfolios, because the portfolio size can lead to a significant number. As discussed in Chapter 7, such an analysis can only be done by simulating the whole portfolio including collateral development and deal ageing. Uncollateralized portfolios may be smaller nowadays, but the CVA impact per trade is obviously more pronounced. We therefore start by delving into actual CVA calculations for the latter, simpler case and look into CVA for a few vanilla derivative products.
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© 2015 Roland Lichters, Roland Stamm, Donal Gallagher
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Lichters, R., Stamm, R., Gallagher, D. (2015). Single Trade CVA. In: Modern Derivatives Pricing and Credit Exposure Analysis. Applied Quantitative Finance. Palgrave Macmillan, London. https://doi.org/10.1057/9781137494849_9
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DOI: https://doi.org/10.1057/9781137494849_9
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-137-49483-2
Online ISBN: 978-1-137-49484-9
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)