Credit valuation adjustment

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Revision as of 20:39, 24 June 2022 by imported>Doug Williamson (Mend link.)
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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