CVA in the portfolio context

[ihcomm (Igor Hlivka)]

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.