ABSTRACT
The intricacy issues regarding the CVA, DVA, LVA and RC, jointly referred to as TVA (for total valuation adjustment), were investigated in the previous chapters, to which this one is a numerical companion. Sect. 6.2 provides an executive summary of Chapters 4 and 5. Sect. 6.3 describes various CSA specifications. In Sects. 6.4 and 6.5 we present clean valuation (clean of counterparty risk and funding costs) and TVA computations in two simple models for interest rate derivatives. We show in a series of practical examples how CVA, DVA, LVA and RC, the four “wings” of the TVA, can be computed in various situations, and we assess the related model risk.
