Counterparty Credit Risk
Counterparty credit risk models for exposures for calculating credit value adjustment (CVA)
Counterparty credit risk is that the counterparty to a contract will not live up to its contractual obligations. This toolbox provides functions to compute credit exposures and collateral amounts from mark-to-market OTC contract values and to calculate exposure profiles from credit exposures.
Functions
creditexposures | Compute credit exposures from contract values |
exposureprofiles | Compute exposure profiles from credit exposures |
Topics
- Counterparty Credit Risk and CVA (Financial Instruments Toolbox)
This example shows how to compute the unilateral credit value (valuation) adjustment (CVA) for a bank holding a portfolio of vanilla interest-rate swaps with several counterparties.
- Wrong Way Risk with Copulas (Financial Instruments Toolbox)
This example shows an approach to modeling wrong-way risk for Counterparty Credit Risk using a Gaussian copula.