The Credit Value Adjustment, or CVA for short, is the difference between the risk free value and the value including counterparty risk of a contract or portfolio.

learn more… | top users | synonyms

4
votes
7answers
2k views

Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling?

I need suggestions for some good books on the following topics: Credit Value Adjustment (CVA) / Credit Risk Probability of Default / Loss-Given-Default / Exposure-At-Default modeling Any pointers ...