CVA and its Relation to Traditional Bond Pricing

Osamu Tsuchiya

Chapter 2 in A Practical Approach to XVA:The Evolution of Derivatives Valuation after the Financial Crisis, 2019, pp 17-38 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Following the impact of the 2008 financial crisis, the environment of the derivatives trading business has changed dramatically. This change also dramatically affects the practice of derivatives valuation. One of the changes is the adoption of Overnight Index Swap (OIS) discounting of collateralized trades, and the other is a far more comprehensive inclusion of valuation adjustments (XVA — cross-valuation adjustment) in derivatives valuation…

Keywords: XVA; CVA; Valuation Adjustments; Counterparty Credit Risk; CCR; KVA; Regulatory Capital (search for similar items in EconPapers)
JEL-codes: C02 G01 (search for similar items in EconPapers)
Date: 2019
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