Cutting Edge: the year of CVA

The year of CVA

Who says quants occupy an ivory tower? This year’s technical articles reflect a preoccupation with a real-world concern – credit value adjustment (CVA), or the counterparty credit component of derivatives market value. Six of the 26 articles published by Risk in the past 12 months focused on the topic, which has shot to prominence as a result of the credit stress many banks are suffering, and the punitive capital charge that will be levied against CVA when portions of Basel III are implemented

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