‘A choreographed ballet’: academics attack CVA

Derivatives add-on rubbished by Cont and Rebonato

Ballet practice: add-ons likened to a series of exercises to please regulators
Ballet practice: Valuation adjustments likened to a series of pointless exercises to please regulators

Two well-known finance professors today called into question the legitimacy of derivatives prices that incorporate a credit valuation adjustment (CVA) – a widely used add-on that reflects counte