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What is CVA and DVA about?

CVA (Credit Valuation Adjustment) and DVA (Debit Valuation Adjustment) are calculations used to assess counterparty and firm default risks in derivative valuations. CVA is determined using expected exposure, probability of default, loss given default, and a discount factor, while DVA uses expected liability with similar variables. These adjustments reflect the impact of credit risk on the fair value of derivatives.

Author

david martinez gonzalez

Language

EN