CVA and the equivalent bond

CVA and the equivalent bond

A number of different suggestions have been proposed to come up with a simple, yet risk-sensitive, capital charge to cover changes in the mark-to-market value of the credit valuation adjustment (CVA) arising from counterparty exposures. In particular, regulators have proposed mimicking in a simple way the behaviour of the CVA exposure to changes in credit spreads by using an equivalent risky discount bond (the equivalent-bond approach). The industry has put forward counterproposals with

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: