A credit valuation adjustment (CVA) is an adjustment applied to the value of a derivative contract or a portfolio of derivatives to account for counterparty credit risk. Measuring CVA requires combining models of market and credit risk to estimate a counterparty's risk of default together with...

We analyze covariance matrix estimation from the perspective of market risk management, where the goal is to obtain accurate estimates of portfolio risk across essentially all portfolios—even those with small standard deviations. We propose a simple but effective visualization tool to assess...

Counterparty risk measurement integrates two sources of risk: market risk, which determines the size of a firm's exposure to a counter party, and credit risk, which reflects the likelihood that the counterparty will default on its obligations. Wrong-way risk refers to the possibility that a...