paper
Counterparty Risk and Funding: The Four Wings of the TVA
Stéphane Crépey, Rémi Gerboud, Zorana Grbac, Nathalie Ngor
Counterparty Risk and Funding: The Four Wings of the TVA
Stéphane Crépey, Rémi Gerboud, Zorana Grbac, Nathalie Ngor
paper2012-10-18English
risk managementarxiv
Description
The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely the counterparty risk. The related Credit Valuation Adjustment, (CVA), Debt Valuation Adjustment (DVA), Liquidity Valuation Adjustment (LVA) and Replacement Cost (RC) issues, jointly referred to in this paper as Total Valuation Adjustment (TVA), have been thoroughly investigated in the theoretical papers [Cr12a] and [Cr12b]. The present work provides an executive summary and n...
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