credit-value-adjustment

A question about CVA: Why is it that CVA is lower for upward-sloping credit spread curves and higher for downward-sloping credit spread curves? Intuitively, as the CDS spreads increase, credit quality of the counter party worsens and so we should charge more to compensate for this increased...

Hi David, I am unable to understand Credit Value Adjustment concept ...can you please explain it in different or elaborate on your screencast. Can you add on Irat_swap_mcs Spreadsheet and show ECE and PCE profiles mathematic.? What is the difference between Msster netting agreement and...