A Platonic dialogue on CVA, Brigo style

Legendary credit modeler Damiano Brigo, currently Gilbart Professor of Mathematical Finance at King's College in London, has teamed up with a group of leading experts on credit risk to produce a study guide to counterparty valuation adjustment (CVA).

Presented in the form a dialogue between a senior and junior colleague, the guide runs through all of the issues surrounding counterparty risk, from calculation to capital requirements and close-out conundrums. Along the way the dialogue finds time for amusing diversions to describe the mood of the "actors" and their taste for cups of green tea.

Drawn mainly from Brigo's eight years of experience in the area, the guide also incorporates contributions from quants including Kyriakos Chourdakis, Massimo Morini and Andrea Pallavicini.

A copy of the paper can be found here 2011-12-07 Brigo (PDF, 391.7 kb).