Pricing Partners Expands CVA, DVA Pricing Models
Paris-based derivatives pricing and valuation vendor Pricing Partners has extended its CVA (credit value adjustment)—which represents the market value of counterparty credit risk—DVA (debt value adjustment) and bilateral CVA functionality to cover any trade at a portfolio level and generate faster computations, enabling clients to eliminate the impact of a new trade within a portfolio and to measure the impact of CVA events on counterparties, which can involve many embedded options with
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