Portfolio CVA - Current Net Exposure

Term Sheet

Currency
Valuation Date
Calendar

Market Data

Counterparty CDS spread in bps
Own CDS spread in bps

Portfolio

Results

Info

Credit valuation adjustment is calculated using flat CDS spreads

Current net exposure method

Exposure is supposed to be constant and equal to valuation dates' portfolio Net Present Value

Positive CVA means DVA (add to NPV to get Credit risk adjusted NPV)