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Computing valuation adjustments for counterparty credit risk using a modified supervisory approach

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Büchel, Patrick ; Kratochwil, Michael ; Rösch, Daniel
License: Creative Commons Attribution 4.0
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Date of publication of this fulltext: 17 Dec 2020 06:49

This publication is part of the DEAL contract with Springer.


Considering counterparty credit risk (CCR) for derivatives using valuation adjustments (CVA) is a fundamental and challenging task for entities involved in derivative trading activities. Particularly calculating the expected exposure is time consuming and complex. This paper suggests a fast and simple semi-analytical approach for exposure calculation, which is a modified version of the new ...


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