CVA computation for counterparty risk assessment in credit portfolios

@inproceedings{Assefa2009CVACF,
title={CVA computation for counterparty risk assessment in credit portfolios},
author={Samson Z. Assefa and Tomasz R. Bielecki and St{\'e}phane Cr{\'e}pey and Monique Jeanblanc},
year={2009}
}

We first derive a general counterparty risk representation formula for the Credit Value Adjustment (CVA) of a netted and collateralized portfolio. This result is then specified to the case, most challenging from the modeling and numerical point of view, of counterparty credit risk. Our general results are essentially model free. Thus, although they are theoretically pleasing, they do not immediately lend themselves to any practical computations. We therefore subsequently introduce an underlying… CONTINUE READING

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