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The possibility that a negative event (such as a loss) will happen.

2
votes
If each party uses unilateral CCR model, i.e. Only takes into account the other party's probability of default, they are much less likely to agree on a price and actually trade. In general, you want …
answered Mar 28 '16 by AFK
1
vote
The marginal CVA depends on every other trade in the netting set. This implies that adding a trade to the portfolio changes the marginal CVA of all the other existing trades in the portfolio. Why is …
answered Sep 27 '15 by AFK
5
votes
I think what you are missing is simply the Vega-Gamma relation in the Black-Scholes model. Namely: $$ Vega = \frac{\partial v}{\partial \sigma} = \sigma(T-t)S^2 \frac{\partial^2 v}{\partial S^2} = …
answered Mar 30 '14 by AFK