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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

creditexposuresCompute credit exposures from contract values
exposureprofilesCompute 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.

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