CVA

The CVA is the amount by which you need to adjust the market value to take into account the counterparty credit risk. It is the sum of the CVA that is calculated for each of the underlying time steps.

For an individual time step it is the CVA for the 6-month period (between the end date of this time step and the end date of the previous time step), and is calculated as follows:

Default probability x expected exposure x (1- recovery rate)

This is displayed in the Credit Check window. For more information on working in this window see Credit Check Window.