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CVA marking

Posted: November 3rd, 2016, 12:56 pm
by RedAlert
 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

Re: CVA marking

Posted: November 3rd, 2016, 2:59 pm
by gatarek
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Re: CVA marking

Posted: November 3rd, 2016, 3:24 pm
by Cuchulainn
Thumb rule rulez.
OTC?

Re: CVA marking

Posted: November 8th, 2016, 4:55 pm
by Samsaveel
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.

Re: CVA marking

Posted: November 21st, 2016, 11:01 pm
by mathfam
ratings based mapping to more liquid (less illiquid?) occurs too....