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Chapter 2: CVA and its Relation to Traditional Bond Pricing

      https://doi.org/10.1142/9789813272743_0002Cited by:0 (Source: Crossref)
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      Abstract:

      Following the impact of the 2008 financial crisis, the environment of the derivatives trading business has changed dramatically. This change also dramatically affects the practice of derivatives valuation. One of the changes is the adoption of Overnight Index Swap (OIS) discounting of collateralized trades, and the other is a far more comprehensive inclusion of valuation adjustments (XVA — cross-valuation adjustment) in derivatives valuation…