{"product_id":"credit-valuation-adjustment-cva-von-fred-hoffman","title":"Credit Valuation Adjustment (CVA)","description":"\u003cp\u003eCredit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on the valuation of OTC derivatives. This becomes critical when the credit risk of entities involved in a contract either as underlying  or counterparty become highly correlated as is the case during macroeconomic shocks. It impacts the valuation of such contracts through an additional term, the credit valuation adjustment (CVA). This can become large  with such correlation. This book outlines the main approaches to credit risk  modelling, intensity and structural. It gives important examples of both and  particular examples useful in the calculation of CVA, the intensity model of  Brigo and the structural model of Hull and White. It details Brigös market standard, model independent, framework for derivatives valuation with  CVA. It does this for both its unilateral form where only one counterparty  is credit risky and also for its bilateral form where both counterparties are  credit risky. This book then shows how these frameworks can be applied to  the valuation of a credit default swap contract (CDS) and compares their ability to capture correlation effects.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783659248504\"\u003e\u003ch3\u003eTheory, Mathematics and Risk Management\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783659248504","offer_id":39486424186973,"sku":"9783659248504","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/2cb0ad96-df59-4edc-b2fe-c2e16e9b66f5.jpg?v=1757825305","url":"https:\/\/shop.autorenwelt.de\/products\/credit-valuation-adjustment-cva-von-fred-hoffman","provider":"Autorenwelt Shop","version":"1.0","type":"link"}