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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Credit valuation adjustment ： ウィキペディア英語版 Credit valuation adjustment Credit valuation adjustment (CVA) is the difference between the risk-free portfolio value and the true portfolio value that takes into account the possibility of a counterparty’s default. In other words, CVA is the market value of counterparty credit risk. Unilateral CVA is given by the risk-neutral expectation of the discounted loss. The risk-neutral expectation can be written as : where $T$  is the maturity of the longest transaction in the portfolio, $B\_t$ is the future value of one unit of the base currency invested today at the prevailing interest rate for maturity $t$, $R$ is the fraction of the portfolio value that can be recovered in case of a default, $\backslash tau$ is the time of default, $E(t)$ is the exposure at time $t$, and $\backslash mathrm(s,t)$ is the risk neutral probability of counterparty default between times $s$ and $t$. These probabilities can be obtained from the term structure of credit default swap (CDS) spreads. More generally CVA can refer to a few different concepts: * The mathematical concept as defined above; * A part of the regulatory Capital and RWA (Risk weighted asset) calculation introduced under Basel 3; * The CVA desk of an investment bank, whose purpose is to: * * hedge for possible losses due to counterparty default; * * hedge to reduce the amount of capital required under the CVA calculation of Basel 3; * The "CVA charge". The hedging of the CVA desk has a cost associated to it, i.e. the bank has to buy the hedging instrument. This cost is then allocated to each business line of an investment bank (usually as a contra revenue). This allocated cost is called the "CVA Charge". According to the Basel Committee on Banking Supervision's July 2015 consultation document regarding CVA calculations, if CVA is calculated using 100 timesteps with 10,000 scenarios per timestep, 1 million simulations are required to compute the value of CVA. Calculating CVA risk would require 250 daily market risk scenarios over the 12-month stress period. CVA has to be calculated for each market risk scenario, resulting in 250 million simulations. These calculations have to be repeated across 6 risk types and 5 liquidity horizons, resulting in potentially 8.75 billion simulations. ==Exposure, independent of counterparty default== Assuming independence between exposure and counterparty’s credit quality greatly simplifies the analysis. Under this assumption this simplifies to : $\backslash mathrm\; =\; (1-R)\; \backslash int\_0^T\; \backslash mathrm^$ *(t)~d\mathrm(0,t) where $\backslash mathrm^$ * is the risk-neutral discounted expected exposure (EE) 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Credit valuation adjustment」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.