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Getting CVA up and running

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Vrins, Frédéric [UCL] Gregory, Jon [Solum Financial]

The credit value adjustment that crystallises counterparty risk in a derivative price is genrally thought of as an upfront payment, but could equally well be converted into a running premium in appropriate products. But the obvious ways to do this lead to inconsistencies, or are computationally burdensome. Here, Frédéric Vrins and Jon Gregory show how an analytical approximation can negociate this.

Document type Article de périodique (Journal article) – Article de vulgarisation
Publication date 2011
Language Anglais
Journal information "Risk Magazine" - p. 76-79 (November 2011)
Peer reviewed yes
Publisher Incisive LMedia (London, UK)
e-issn 0952-8776
Affiliation UCL - SSH/LouRIM - Louvain Research Institute in Management and Organizations
Links
Bibliographic reference Vrins, Frédéric ; Gregory, Jon. Getting CVA up and running. In: Risk Magazine, p. 76-79 (November 2011)
Permanent URL http://hdl.handle.net/2078.1/150984