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Glossary of Terms CVA - Credit Value Adjustment: The adjustment made to the MTM of a derivative to reflect the credit risk exposure of the bank to the counterparty FVA Fair Value Adjustment (same as CVA) CRA Credit Risk adjustment (same as CVA) Trade Inception Charge (Credit Charge, Credit Intermediation...
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Preface The recent change in OTC trading practices has resulted in the demand for accurate credit risk fees to be made available near instantaneously for the traders. For the technology people in many institutes from Tier 1 banks to hedge funds, this is proving to be something of a black swan. At EM...
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Term<o:p></o:p> Meaning<o:p></o:p> CVA - Credit Value Adjustment <o:p></o:p> The adjustment made to the MTM of a derivative to reflect the credit risk exposure of the bank to the counterparty <o:p></o:p> FVA <o:p></o:p> Fair Value Adjustment...
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Preface The recent change in OTC trading practices has resulted in the demand for accurate credit risk fees to be made available near instantaneously for the traders. For the technology people in many institutes from Tier 1 banks to hedge funds, this is proving to be something of a black swan . At EM...