Log in or Register for enhanced features | Forgotten Password?
White Papers | Suppliers | Events | Report Store | Companies | Dining Club | Videos
Banking Business Review
Return to: BBR Home | Suppliers

Gaining From Your Own Default – Counterparty Credit Risk and DVA

Published 07 April 2010 | By InteDelta

A trend that has become increasingly relevant for financial institutions to consider is the bilateral nature of counterparty risk. This involves quantifying counterparty risk under the assumption of one's own default where a defaulting institution "gains" on any outstanding liabilities that need not (cannot) be paid in full. This component is often named Debit Valuation Adjustment (DVA) and is the mirror image of the more commonly known unilateral Credit Valuation Adjustment (CVA).

Available Downloads

Gaining From Your Own Default – Counterparty Credit Risk and DVA