Misys: Building Cva On Top Of An Existing Risk Infrastructure

A credit value adjustment (CVA) captures the counterparty default risk inherent in Over The Counter (OTC) derivatives portfolios. In a sense, the CVA is similar to loss reserves made on loan portfolios; on the other hand CVA is a highly volatile figure that depends directly on fluctuating daily market prices.

This paper considers:

The drivers behind CVA The different approaches that banks can adopt in response to these drivers The technology implications of each of these

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