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RedAlert
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Posts: 155
Joined: April 11th, 2002, 10:54 am

CVA marking

November 3rd, 2016, 12:56 pm

 Can anyone tell me how banks calculate their accounting CVA when there are no tradeable CDS with which to calculate default probabilities. Do any firms use historic default probabilities, I would be interested to know which firms and if there are any references for this stuff.
Thanks
Red Alert
 
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gatarek
Posts: 341
Joined: July 14th, 2002, 3:00 am

Re: CVA marking

November 3rd, 2016, 2:59 pm

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Last edited by gatarek on March 11th, 2019, 1:08 pm, edited 1 time in total.
 
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Cuchulainn
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Re: CVA marking

November 3rd, 2016, 3:24 pm

Thumb rule rulez.
OTC?
http://www.datasimfinancial.com
http://www.datasim.nl

Approach your problem from the right end and begin with the answers. Then one day, perhaps you will find the final question..
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Samsaveel
Posts: 435
Joined: April 20th, 2008, 5:47 am

Re: CVA marking

November 8th, 2016, 4:55 pm

i think in the absence of liquid CDS's, equity plays a part in pd calibration, basel II.5 and FRTB has more on this under Incremental risk charge and FRTB default risk charge.
 
mathfam
Posts: 2
Joined: November 21st, 2016, 8:25 pm

Re: CVA marking

November 21st, 2016, 11:01 pm

ratings based mapping to more liquid (less illiquid?) occurs too.... 
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