Best Practice Analysis of Credit Valuation Adjustment (CVA) Methodologies Under ASC 820

This white paper provides a thorough analysis of the five identified CVA methods for both foreign exchange and interest rate derivatives and how each method performed during a recent 18-month period of significant market volatility. Building upon Chatham’s previous white paper that articulated how Potential Future Exposure (PFE) is the most accurate method to adjust for credit risk, this new study demonstrates that CVAs calculated using a PFE model exhibited less volatility than those calculated using any of the four current exposure methods.

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Navigating Available FX Strategies
Navigating Available FX Strategies

FX risk management is getting tricky as currency volatility increases.

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Debt Valuations in Accordance with ASC 820
Debt Valuations in Accordance with ASC 820

With the introduction of ASC 820 (FAS 157), fair values in general have received increased attention. Howev...