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Impact of the first to default time on Bilateral CVA
Credit Valuation Adjustment Unilateral CVA Bilateral CVA Simplified Bilateral CVA Debit Valuation Adjustment Closeout Equity Forward Contract
2011/6/17
We compare two different bilateral counterparty valuation adjustment (BVA) formulas.
The first formula is an approximation and is based on subtracting the two unilateral
Credit Valuation Adjustment ...
Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades
Completing CVA Liquidity Firm-Level Positions Collateralized Trades
2010/9/30
Bilateral CVA as currently implement has the counterintuitive effect of profiting from one's own widening CDS spreads, i.e. increased risk of default, in practice. The unified picture of CVA and liqu...