An Efficient, Distributable, Risk Neutral Framework for CVA Calculation

Details An Efficient, Distributable, Risk Neutral Framework for CVA Calculation An Efficient, Distributable, Risk Neutral Framework for CVA Calculation

2010-10-08

arxiv.org/abs/1010.1689v1

Economy

Quantitative Finance

Computational Finance

18 pages

Scientific paper

The importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008. Accurate valuation of Credit value adjustment (CVA) is essential to reflect the economic values of these risks. In the present article, we reviewed several different approaches for calculating CVA, and compared the advantage and disadvantage for each method. We also introduced an more efficient and scalable computational framework for this calculation.

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