An Efficient, Distributable, Risk Neutral Framework for CVA Calculation
AbstractThe importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008. Accurate valuation of Credit value adjustment (CVA) is essential to reflect the economic values of these risks. In the present article, we reviewed several different approaches for calculating CVA, and compared the advantage and disadvantage for each method. We also introduced an more efficient and scalable computational framework for this calculation.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1010.1689.
Date of creation: Oct 2010
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-23 (All new papers)
- NEP-BAN-2010-10-23 (Banking)
- NEP-CMP-2010-10-23 (Computational Economics)
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