Stacks Image 6

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.