https://gdpark.blog/tags/cva/Recent content in Cva on gdpark.blogHugoenMon, 30 Dec 2024 00:00:00 +0000https://gdpark.blog/posts/cfa-l2-20-credit-valuation-adjustment-cva/Sun, 29 Dec 2024 00:00:00 +0000https://gdpark.blog/posts/cfa-l2-20-credit-valuation-adjustment-cva/Diving into CVA — that shave-off amount on OTC derivative valuations that accounts for counterparty default risk, because zero-risk counterparties just don’t exist.https://gdpark.blog/posts/cfa-l2-21-risk-neutral-probability-of-default/Sun, 29 Dec 2024 00:00:00 +0000https://gdpark.blog/posts/cfa-l2-21-risk-neutral-probability-of-default/Risk-neutral (aka implied) default probability is just the PD that calibrates you to market prices — so you can discount everything at the risk-free rate, no guesswork needed.https://gdpark.blog/posts/cfa-l2-23-structural-and-reduced-form-credit-models/Mon, 30 Dec 2024 00:00:00 +0000https://gdpark.blog/posts/cfa-l2-23-structural-and-reduced-form-credit-models/A casual walkthrough of structural vs. reduced-form credit models — just enough to nail the pros and cons without drowning in the math.https://gdpark.blog/posts/cfa-l2-24-credit-spread-analysis-and-term-structure-of-credit-spreads/Mon, 30 Dec 2024 00:00:00 +0000https://gdpark.blog/posts/cfa-l2-24-credit-spread-analysis-and-term-structure-of-credit-spreads/VND, CVA, and why credit spreads have their own term structure — plus what credit quality, the economy, liquidity, and equity vol do to the curve shape.