Credit Valuation Adjustment

The term CVA ( Credit Valuation Adjustment) falls in the valuation of OTC derivatives and refers to the risk that the positive replacement value decreases because the credit risk premium increases for the other party, without that it fails.

Since the financial crisis of 2007 /08 Jon Gregory applies his work Counterparty Credit Risk as " the new founder " of this measure of risk. A German -language reference work on the topic of counterparty risk was written by Sven Ludwig, Marcus RW Martin, and Carsten S. Wehn and considered it as specific regulatory requirements, such as Basel III.


  • BaFin Journal 01/ 2014: CRD IV,
  • Sven Ludwig, Marcus RW Martin, and Carsten S. Wehn: "Counterparty Risk: evaluation, management under Basel III and IFRS " (ISBN 978-3-7910-3176-7 )
  • Financial risk