CVA with Greeks and AAD

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


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

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