Cutting Edge introduction: CVA for CDSs


The general mathematics of credit and debit valuation adjustments (CVA and DVA) that are added to derivatives prices to reflect counterparty and own credit risk have been understood for some time, at least since the first formulas for expected exposures and losses appeared in the late 1990s and early 2000s. But there have been few attempts to apply this at a particular product level, for specific payouts.

This month’s technical section includes an exception to this rule in CDSs, CVA and DVA – a

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