Credit Valuation Adjustment (CVA)

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Focusing on credit risk and its implications for OTC derivatives post-2007 Credit Crisis, this book explores the correlation between entities during macroeconomic shocks and its effect on credit valuation adjustment (CVA). It discusses key credit risk modeling approaches, including intensity and structural models, with practical examples for calculating CVA. The text highlights Brigö's model-independent framework for derivatives valuation under both unilateral and bilateral credit risk scenarios and applies these frameworks to credit default swap (CDS) contracts, assessing their effectiveness in capturing correlation effects.