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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

creditexposures Compute credit exposures from contract values
exposureprofiles Compute exposure profiles from credit exposures
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