Message Boards Message Boards

1
|
7438 Views
|
0 Replies
|
1 Total Likes
View groups...
Share
Share this post:

CVA in the portfolio context

Posted 10 years ago

This part extends the CVA concept and methods derived and presented previously when we dealt wit the single transactional case. The extension to the portfolio level is both logical and intuitive since the portfolio represents the linear combination set that nicely supports the analytical computation of the CVA. Consequently, the computation is quick and accurate and avoids numerical errors frequently incurred when finite differences are used .We discuss the portfolio derivation on the netting set and then extend this logic to total portfolio with multiple counterparties and netting sets.

Marginal CVA

Attachments:
POSTED BY: Igor Hlivka
Reply to this discussion
Community posts can be styled and formatted using the Markdown syntax.
Reply Preview
Attachments
Remove
or Discard

Group Abstract Group Abstract