Oussama Marzouk received a PhD in financial engineering from HEC Montréal in June 2017 and is currently a Senior Advisor at the National Bank of Canada since April 2018, where he is in charge of doing risk oversight on the XVA desk. His research interests mainly cover counterparty risk ad XVA topics. Before joining the National Bank of Canada, Oussama worked for two years as a Senior Consultant in Financial Advisory Services at Deloitte Canada. Oussama is also teaching graduate financial engineering classes at Université du Québec à Montréal. His research interests mainly cover counterparty risk and XVA topics.
This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.