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Example Project: CVA (Credit Valuation Adjustment)

Client Brief


The client, a buy-side institution, required a simple CVA methodology for its swap portfolio. The methodology was to be implemented in-house by the risk team.

QuantVal Solution


QuantVal developed and delivered a simple CVA methodology. It was important to keep the methodology as simple as possible (while highlighting any approximations made) in order to keep to a tight implementation schedule.