CVA with Greeks and AAD

Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints

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Since the outbreak of the financial crisis, it has become apparent that counterparty credit risk can no longer be ignored and should be priced: this is the purpose of credit valuation adjustment (CVA). CVA is now of paramount importance in the financial industry, becoming a focus for not only practitioners and regulators but also for academics. One only has to look at the fast-growing literature on the topic to realise how much effort is being put into it. In this paper, we propose a Monte Carlo