Price of a financial derivative with unilateral counterparty credit risk equals to the price of an otherwise risk-free derivative minus a credit value adjustment (CVA) component, which can be seen as a call option on investor's NPV with strike 0. Thus modeling volatility of NPV is the foundation...

This paper deals with the problem of pricing credit derivatives portfolio—CDO. The article assumes that the systematic factor and idiosyncratic factors subject to the fat-tailed mixed G-VG distribution instead of the traditional Gaussian distribution in the framework of factor model. Thus, the...