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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.