交易对手信用风险
交易对手信用风险models for exposures for calculating credit value adjustment (CVA)
交易对手信用风险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
- 交易对手信用风险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.