Written by Ioannis Akkizidis
The volatility in the value of the credit portfolios is one of the most challenging issues in the financial industry, which increased in intensity since the turmoil surrounding major defaults in the US (ie Enron, Marconi, etc), downturns in stock markets around the world, the bailout of banks by national governments and the Eurozone uncertainty.
In the credit financial crisis, which highlighted deficiencies of the banks’ approach to managing risk, most losses occurred due to credit portfolio volatilities rather than default events.
Therefore, the emergence of adjustments of the credit valuations of volatile credit portfolios became a sophisticated and essential analysis element for global financial institutions with highly complex functions and processes.
In this whitepaper, find out about the elements needed for estimating the CVA, highlighting the assumptions in the estimation of the model parameters that have been made by the practitioners and regulators.
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