credit valuation adjusment

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    Credit Valuation Adjustment vs Expected Loss

    Hello David! I have noticed that formula for both expected loss and CVA is the same. CVA is the present value of future exposure. Isn't expected loss the same thing? I am aware that EL is used for both credit risk and counterparty credit risk. So, why CVA if we can measure CCR with EL? Would be...
    • Sameera
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    • basel iii counterparty credit risk credit risk credit valuation adjusment cva expected loss
    • Replies: 6
    • Forum: P2.T6. Credit Risk (25%)
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