Credit valuation adjustment: Difference between revisions

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imported>Doug Williamson
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imported>Doug Williamson
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* [[Security]]
* [[Security]]
* [[Standardised Approach]] (STA)
* [[Standardised Approach]] (STA)
* [[XVA]]
* [[X-Value Adjustment]] (XVA)





Revision as of 20:45, 24 June 2022

Credit risk - financial reporting - bank supervision.

(CVA).

Credit valuation adjustment values the risk of default by the issuer of a security, so is a market measurement of counterparty risk.

It is the price an investor would pay to hedge the counterparty credit risk.


See also


Other link

The Treasurer, Technical Briefing December 2013