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CVA and Counterparty Risk Management

CVA and Counterparty Risk Management

A survey of management, measurement and systems

The paper presents the results of a survey that looks to establish the management processes, measurement and systems that banks use to control counterparty risk paying particular focus on two important metrics in counterparty risk: Potential Future Exposure (PFE) and Credit Valuation Adjustment (CVA).

19 banks participated in the survey from a broad spread of geographies and sizes, ranging from some of the largest investment banks to small regional players.

 

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