The cva tag has no wiki summary.
5
votes
2answers
497 views
Credit Valuation Adjustments — computation issues
I'm currently working on my Masters project related to accelerating Greeks computations for CVA on mixed interest rate portfolios. I would like to know about the status of technology for CVA and its ...
4
votes
3answers
3k views
What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
What does a CVA (Credit Valuation Adjustment) desk do, and how are its activities different from other trading desks? Can you work as a quant for a CVA desk and consider your role "front office"?
4
votes
0answers
85 views
Basel CVA VaR with R/WWR
In Basel III the CVA VaR “is restricted to changes in the counterparties’ credit spreads and does not model the sensitivity of CVA to changes in other market factors, such as changes in the value of ...
3
votes
7answers
909 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 ...
1
vote
0answers
87 views
How to calculate a the PFE for a Swaption?
How do you calculate the Potential Future Exposure (PFE) for a swaption?
Do you incorporate the dynamics of implied volatility when you are running your simulations?
Is there a standard way to ...
