Vágó, Lajos (Citi)
Aspects of counterparty credit risk valuation
When two counterparties enter into a financial contract that involves future payments, they are naturally exposed to the risk of their counterparty defaulting without meeting their contractual obligations, i.e. credit risk. For a long time the major ways of mitigating this risk was using collaterals, or involving clearing houses. Still, in some cases these are not applied, or not perfect, leaving material residual risks. To account for credit risk a spread is usually added to the prices/evaluation of derivative contracts called credit valuation adjustment (CVA). In my talk, I will talk about the main aspects of computing CVA, mention a few examples of derivative products CVA is computed for, as well as I will point out some particular mathematical challenges.
The talk
is held in English!
Az
előadás nyelve angol!
Date: Sep 20, Tuesday
4:15pm
Place: BME, Building „Q”,
Room QBF13