Risk glossary

 

Debit valuation adjustment (DVA)

Debit valuation adjustment reflects the credit risk of the bank writing the contract; it is often thought of as the negative of credit valuation adjustment (CVA) – that is, a bank’s DVA is its counterparty’s CVA. It applies primarily to uncollateralised derivative liabilities and reflects the benefit to a bank from a deterioration in its credit quality.

See also Valuation adjustments (XVAs).

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