CVA VaR: Analytical approximation vs Basel standard formulae

Proper knowledge of the Counterparty Credit Risk (CCR) associated with the ability toaccurately measure it, will be an achievement in maintaining a stable and long lastingfinancial system. According to the Basel Committee, during the financial crisis, about70% of losses related to CCR were actually the fact from the volatility in the in the CVAinstead of actual defaults. This thesis intends to explore the features of Credit ValueAdjustment (CVA), the manner to measure CCR and the why it is relevant to be ableto accurately model it. The model is built on an interest rate swap contract in a CIRframework and the sensitivity of the CVA value with respect to the parameters understudy retains our attention in this thesis. we end up showing that the final CVA value issensitive to changes parameters value as well as to wrong way risk (WWR).