Difference between revisions of "Credit Valuation Adjustment"

From MarketsWiki
Jump to navigation Jump to search
m
 
(2 intermediate revisions by the same user not shown)
Line 1: Line 1:
<div id="pagefloat">
{{Random adbox}}
<div class="content">
Credit Valuation Adjustment (CVA) is a metric representing the difference between the risk free portfolio value and the true portfolio value, taking counterparty risk into account. CVA is the market value of the counterparty [[credit risk]]. <ref>{{cite web|url=http://www.fow.com/Article/3077998/Babicz-Effective-CVA-a-necessity-for-banks.html|name=Babicz: Effective CVA a necessity for banks|org=FOW|date=August 22, 2012}}</ref>
<div class="headerimage"><imagemap>
  Image:mrw_links.png‎
  desc none
  default [http://marketsreformwiki.com]
</imagemap></div>
<div class="item">[http://www.marketsreformwiki.com/mktreformwiki/index.php/Dodd-Frank_Act Dodd-Frank Act]</div>
<div class="item">[http://www.marketsreformwiki.com/mktreformwiki/index.php/Dodd-Frank_Act_-_White_Papers Dodd-Frank Act - White Papers]</div>
<div class="item">[http://www.marketsreformwiki.com/mktreformwiki/index.php/CFTC CFTC News and Meeting Archives]</div>
<div class="item">[http://www.marketsreformwiki.com/mktreformwiki/index.php/Regulatory_Capital_Rules:_Advanced_Approaches_Risk-based_Capital_Rule;_Market_Risk_Capital_Rule Risk Based Capital]</div>
<div class="item">[http://www.marketsreformwiki.com/mktreformwiki/index.php/Basel_III Basel III]</div>
</div>
</div>Credit Valuation Adjustment (CVA) is a metric representing the difference between the risk free portfolio value and the true portfolio value, taking counterparty risk into account. CVA is the market value of the counterparty [[credit risk]]. <ref>{{cite web|url=http://www.fow.com/Article/3077998/Babicz-Effective-CVA-a-necessity-for-banks.html|name=Babicz: Effective CVA a necessity for banks|org=FOW|date=August 22, 2012}}</ref>


The metric has gained increasing attention the Basel III accords as well as in the Dodd-Frank Act, where the definition of "Tier 1 Capital" has been called into question in regards to categorizing and weighing [[OTC derivatives]]. <ref>{{cite web|url=http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1032522|name=A Guide to Modeling Counterparty Credit Risk|org=Social Science Research Network|date=August 22, 2012}}</ref>
The metric has gained increasing attention in the [[Basel III]] accords as well as in the Dodd-Frank Act, where the definition of "Tier 1 Capital" has been called into question in regards to categorizing and weighing [[OTC derivatives]]. <ref>{{cite web|url=http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1032522|name=A Guide to Modeling Counterparty Credit Risk|org=Social Science Research Network|date=August 22, 2012}}</ref>


== References ==
== References ==

Latest revision as of 19:25, 3 December 2013


Nyse-n.gif


Credit Valuation Adjustment (CVA) is a metric representing the difference between the risk free portfolio value and the true portfolio value, taking counterparty risk into account. CVA is the market value of the counterparty credit risk. [1]

The metric has gained increasing attention in the Basel III accords as well as in the Dodd-Frank Act, where the definition of "Tier 1 Capital" has been called into question in regards to categorizing and weighing OTC derivatives. [2]

References[edit]