If we have a swap with a bank and Special Purpose Vehicle (SPV), and the swap is un-collateralized , how do we estimate Credit Value Adjustment on the swap?
I will be able to get the Expected Positive Exposure (EPE) profile but I need to know the Loss Given Default (LGD) and probability of default (essentially a credit curve).
Therefore my question is, what are some real world ways to estimate a credible credit curve for an SPV ?
I am only looking at it from a practitioners perspective.
This SPV borrows EUR from a bank , does cross currency swap with swap counter party and lends USD to a corporate client. The banks and swap counterparty is A rate and corporate client is BBB+ rate.