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Counterparty Credit Risk

Counterparty credit risk models for exposures for calculating credit value adjustment (CVA)

Counterparty credit risk is that the counterparty to a contract will not live up to its contractual obligations. The Financial Toolbox™ provides functions to compute credit exposures and collateral amounts from mark-to-market OTC contract values and to calculate exposure profiles from credit exposures.

Functions

creditexposuresCompute credit exposures from contract values
exposureprofilesCompute exposure profiles from credit exposures

Topics

  • Counterparty Credit Risk and CVA

    This example shows how to compute the unilateral credit value (valuation) adjustment (CVA) for a bank holding a portfolio of vanilla interest-rate swaps with several counterparties.

  • Wrong Way Risk with Copulas

    This example shows an approach to modeling wrong-way risk for Counterparty Credit Risk using a Gaussian copula.

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