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What rhymes with credit valuation adjustment?
credit val·u·a·tion adjust·ment
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- Credit valuation adjustment (CVA) is the difference between the risk-free portfolio value and the true portfolio value that takes into account the possibility of a counterparty's default. In other words, CVA is the market value of counterparty credit risk. This price depends on counterparty credit spreads as well as on the market risk factors that drive derivatives' values and, therefore, exposure. CVA is one of a family of related valuation adjustments, collectively xVA; for further context here see Financial economics § Derivative pricing. Unilateral CVA is given by the risk-neutral expectation of the discounted loss. The risk-neutral expectation can be written as C V A ( T ) = E Q [ L ∗ ] = ∫ 0 T E Q [ L G D B 0 B t E ( t ) | t = τ ] d P D ( 0 , t ) {\displaystyle \mathrm {CVA(T)} =E^{Q}[L^{*}]=\int _{0}^{T}E^{Q}\left[LGD{\frac {B_{0}}{B_{t}}}E(t)|t=\tau \right]d\mathrm {PD} (0,t)} where T {\displaystyle T} is the maturity of the longest transaction in the portfolio, B t {\displaystyle B_{t}} is the future value of one unit of the base currency invested today at the prevailing interest rate for maturity t {\displaystyle t} , L G D {\displaystyle LGD} is the loss given default, τ {\displaystyle \tau } is the time of default, E ( t ) {\displaystyle E(t)} is the exposure at time t {\displaystyle t} , and P D ( s , t ) {\displaystyle \mathrm {PD} (s,t)} is the risk neutral probability of counterparty default between times s {\displaystyle s} and t {\displaystyle t} . These probabilities can be obtained from the term structure of credit default swap (CDS) spreads.
We couldn't find any rhymes for the word credit valuation adjustment.
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credeur, credibility, credible, credibly, credit, credit's, creditable, creditably, credited, credithrift
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"credit valuation adjustment Rhymes." Rhymes.com. STANDS4 LLC, 2024. Web. 14 May 2024. <https://www.rhymes.com/rhyme/credit+valuation+adjustment>.
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