Credit Value Adjustment (CVA) for a Zero Coupon Bond (ZCB)
1. Context
In this short video, we explore various routes to arrive at the relation for computing the Credit Value Adjustment (CVA) for a Zero Coupon Bond (ZCB). Each of these routes helps us clarify and tie together various concepts pertaining to credit risk modelling that we have encountered in various prescribed readings of the FRM Exam Part II curriculum. The details of the reading in which this topic appears are given below:
| Area | Credit Risk |
| Reading | Credit and Debt Value Adjustments |
| Reference | Jon Gregory, Chapter 14. Credit and Debt Value Adjustments In The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 3rd Edition, (West Sussex, UK: John Wiley & Sons, 2015). |