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Credit Valuation Adjustment (CVA) quantifies the present value of expected credit losses, explaining why risky bonds are priced lower than risk-free bonds. It incorporates factors like default probability, recovery rate, and exposure to assess credit risk and its impact on bond pricing. The document outlines the calculation of CVA through expected loss, discounting, and provides examples for zero-coupon and coupon bonds.

Author

mru93873

Language

EN