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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. The Financial 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

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

This example shows an approach to modeling wrong-way risk for Counterparty Credit Risk using a Gaussian copula.

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