February 2011
Intermediate to advanced
768 pages
22h 39m
English
Chapter 15
Counterparty Valuation Adjustments
The financial crisis that began in 2007 has highlighted the importance of assessing counterparty credit risk. Regulations, accounting practices, and investment practices are all being reshaped to better manage counterparty risk.
Here we review the need for counterparty credit risk analysis, focusing on accurate computation of the counterparty valuation adjustment (CVA). We