Exploring the future of financial data architecture: AI-native financial data foundation, large-scale financial data processing, and financial AI safety & governance
Tag: CVA
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)
In the previous blog, I manually crafted the Python code for pricing CDS without relying on third-party quant libraries. While this approach was useful for understanding the underlying algorithm, in practice, it's preferable to use a mature, validated library for standardisation when available. In this blog post, I will revisit the CDS pricing exercise using … Continue reading Pricing Credit Default Swap with QuantLib
Some Basics of Credit Default Swap (CDS) A Credit Default Swap is a credit derivative instrument that functions as a form of insurance, where one party pays a series of premiums to another party in exchange for protection against the risk of default by the issuer of the underlying debt. Parties Involved: Protection Buyer - Owns … Continue reading Pricing Credit Default Swaps
Data Ninjago (Financial Data Architecture) 
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