Erschienen in:Robert H. Smith School Research Paper ; No. RHS 2715403
Umfang:
1 Online-Ressource (17 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2715403
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 30, 2015 erstellt
Beschreibung:
Conic pricing (or bid and ask pricing) of credit risk shows how counterparty credit risk when conservatively valued at the bid price results in larger CVA than would occur under risk neutral pricing. On the other hand when it comes to the debt valuation adjustment, since it is a liability, it must be priced at the ask. This mitigates and can even eliminate the DVA