An Efficient, Distributable, Risk Neutral Framework for CVA Calculation

The importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008. Accurate valuation of Credit Value Adjustment (CVA) is essential to reflect the economic values of these risks. In the present paper, several different approaches for calculating CVA have been reviewed, and the advantage and disadvantage for each method have been compared. A more efficient and scalable computational framework has also been introduced for this calculation