Compute the unilateral credit value (valuation) adjustment (CVA) for a bank holding a portfolio of vanilla interest rate swaps with several counterparties. CVA is the expected loss on an
An approach to modeling wrong-way risk for Counterparty Credit Risk using a Gaussian copula.
Choose your location to get translated content where available and see local events and offers. Based on your location, we recommend that you select: .
You can also select a location from the following list:
Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.