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Impact of the first to default time on Bilateral CVA
Credit Valuation Adjustment Unilateral CVA Bilateral CVA Simplified Bilateral CVA Debit Valuation Adjustment Closeout Equity Forward Contract
2011/7/4
We compare two different bilateral counterparty valuation adjustment (BVA) formulas.
The first formula is an approximation and is based on subtracting the two unilateral
Credit Valuation Adjustment ...