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What is Understanding Credit Valuation Adjustment about?

The document discusses credit valuation adjustment (CVA) which is the process of pricing and hedging counterparty credit risk in derivative transactions. It provides an overview of CVA methodology including how it is calculated based on expected positive exposure, expected negative exposure, probability of default derived from CDS spreads, and recovery rates. It also discusses dynamic hedging of CVA through delta hedging the sensitivity of CVA to market factors like foreign exchange rates and credit spreads

Author

priak11

Language

EN