A primer on counterparty valuation adjustments in South Africa
Counterparty valuation adjustment (CVA) risk accounts for losses due to the deterioration in credit quality of derivative counterparties with large credit spreads. Of the losses attributed to counterparty credit risk incurred during the financial crisis of 2008-9 were due to CVA risk; the remaining...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2014-11-01
|
| Series: | South African Journal of Economic and Management Sciences |
| Online Access: | https://sajems.org/index.php/sajems/article/view/648 |