Credit valuation adjustment

Credit risk - financial reporting - bank supervision.

(CVA).

Credit valuation adjustment values the risk of default by the issuer of a security, so is a market measurement of counterparty risk.

It is the price an investor would pay to hedge the counterparty credit risk.

See also

• Bank supervision
• Basel Committee on Banking Supervision (BCBS)
• Basel III
• Capital adequacy
• Counterparty risk
• Credit
• Credit risk
• Default
• DVA
• Fair value
• FVA
• IMA
• Issuer
• Security
• Standardised Approach (STA)
• X-Value Adjustment (XVA)

Other link

The Treasurer, Technical Briefing December 2013