Counterparty Credit Risk
Counterparty credit risk is that the counterparty to a contract will not live up to its contractual obligations. The Financial Toolbox™ provides functions to compute credit exposures and collateral amounts from mark-to-market OTC contract values and to calculate exposure profiles from credit exposures.
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.
This example shows an approach to modeling wrong-way risk for Counterparty Credit Risk using a Gaussian copula.