Credit valuation adjustment: Difference between revisions
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imported>Doug Williamson (Mend link.) |
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* [[Capital adequacy]] | * [[Capital adequacy]] | ||
* [[Counterparty risk]] | * [[Counterparty risk]] | ||
* [[Credit ]] | |||
* [[Credit risk]] | * [[Credit risk]] | ||
* [[Default]] | * [[Default]] | ||
Revision as of 12:23, 6 July 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
- Bank supervision
- Basel Committee on Banking Supervision (BCBS)
- Basel III
- Capital adequacy
- Counterparty risk
- Credit
- Credit risk
- Default
- DVA
- Fair value
- FVA
- IMA
- Issuer
- Security
- Standardised Approach (STA)
- X-Value Adjustment (XVA)
