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交易对手信用风险

用于计算信用价值调整 (CVA) 的交易对手信用风险敞口模型

交易对手信用风险是指合同的交易对手不遵守合同规定的义务。此工具箱提供了相应的函数，可用于根据市值计价的 OTC 合约价值计算信用风险敞口和抵押金额，以及根据信用风险敞口计算敞口概况。

函数

creditexposuresCompute credit exposures from contract values
exposureprofilesCompute exposure profiles from credit exposures

主题

  • Counterparty Credit Risk and CVA (Financial Instruments Toolbox)

    This example shows how to compute the unilateral credit value (valuation) adjustment (CVA) for a bank holding a portfolio of vanilla interest-rate swaps with several counterparties.

  • Wrong Way Risk with Copulas (Financial Instruments Toolbox)

    This example shows an approach to modeling wrong-way risk for Counterparty Credit Risk using a Gaussian copula.