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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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Debt Valuation Methodologies - Chatham Financial - August 2018
Debt Valuation Methodologies - Chatham Financial - August 2018

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