Tag: CVA

Calculating CVA (Credit Valuation Adjustment)

Calculating CVA (Credit Valuation Adjustment)

Credit Valuation Adjustment (CVA) is the present value of the potential credit risk associated with an investment that carries counterparty risk. The CFA curriculum, Fixed Income, Module 4, Section 2, presents the detailed steps for calculating CVA. In this blog post, I will replicate these steps using Python. Below is a diagram I created to … Continue reading Calculating CVA (Credit Valuation Adjustment)