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Results tagged with cva
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user 1215
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.
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How is the default probability implied from market implied CDS spreads for CVA/DVA calculation?
There are quite a few methods to calculate default probabilities from CDS data. Simply you start at the shortest tenor, assume constant hazard rate. Then for the next tenor, you assume the previous ha …
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