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White Paper: Credit Value Adjustment as Static Hedging Tool for CCR

Credit Value Adjustment (CVA) is aimed to express the difference between the risk-free portfolio value and the true portfolio value that takes into account the probability of counterparty default. This paper, together with other documents published in this series by the author, presents guide into methodology of CVA computation for derivatives. We demonstrate main steps to price Counterparty Credit Risk and compute the unilateral CVA for a portfolio of interest rate swaps.

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