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by delta400
March 18th, 2025, 1:49 pm
Forum: General Forum
Topic: CVA dynamic hedging
Replies: 2
Views: 2608

Re: CVA dynamic hedging

My understanding is that, the evolution of the CVA metric is non-linear and will not map on a 1 to 1 with the CDS hedge, there is a potential of the exposure to over/undershoot the hedge, the Bid-offer from the  consistent rebalancing cost will hit your pnl as it becomes too costly to price the CVA ...