CVA with Greeks and AAD

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

cutting-edge-pic-2

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: