Glossary of Terms CVA - Credit Value Adjustment: The adjustment made to the MTM of a derivative to reflect the...
Revision #5 Posted by
Alan Edwards on 14 Sep 2009
Preface The recent change in OTC trading practices has resulted in the demand for accurate credit risk fees to...
Revision #1 Posted by
AlexMuirhead on 10 Sep 2009
Introduction Credit Exposure (CE) is calculatd from the maximal mark-to-market (MtM) obtained over a an appropriate...
Revision #7 Posted by
Alan Edwards on 8 Sep 2009