CVA pricing for commodities with WWR
A calculation of CVA integrating a commodity futures exposure with probability of an event under WWR and credit downgrades
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This article focuses on calculating credit valuation adjustment (CVA) for commodity futures with wrong-way risk (WWR) and counterparty credit deterioration simultaneously. Kelin Pan presents an analytical expression that calculates CVA using integration of a commodity futures exposure and the conditional probability of a credit event under WWR and credit downgrades
The commodity futures price is one of the key market factors in valuing counterparty credit risk (CCR)
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