Compelo Banking is using cookies

We use them to give you the best experience. If you continue using our website, we'll assume that you are happy to receive all cookies on this website.

ContinueLearn More


Gaining From Your Own Default – Counterparty Credit Risk and DVA

A trend that has become increasingly relevant for financial institutions to consider is the bilateral nature of counterparty risk. This involves quantifying counterparty risk under the assumption of one’s own default where a defaulting institution “gains” on any outstanding liabilities that need not (cannot) be paid in full. This component is often named Debit Valuation Adjustment (DVA) and is the mirror image of the more commonly known unilateral Credit Valuation Adjustment (CVA).