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Counterparty Credit Risk

Technical paper

CVA and the equivalent bond

Author: Riccardo Rebonato, Mike Sherring and Ronnie Barnes

Source: Risk magazine | 24 Aug 2010

Categories: Counterparty Credit Risk

Topics: Bank for International Settlements (BIS), Royal Bank of Scotland (RBS), Riccardo Rebonato, International Swaps and Derivatives Association (Isda), Risk sensitivity, Basel III, Basel II, Hedging, Credit value adjustment (CVA)

A number of different suggestions have been proposed to come up with a simple, yet risk-sensitive, capital charge to cover changes in the mark-to-market...

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CVA and the equivalent bond

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