**NEW** (June 2019) - Jupyter Notebook example of Swap CVA

Credit Value Adjustment is now a highly relevant and discussed topic in Quantitative finance.

The following notes were prepared after a recent "extra lecture" presented at the CQF.

This once again proves the value of the course this institution provides for those wanting to stay in touch with the most recent developments in Finance.

Please note that all errors and omissions are entirely mine (and please email me to let me know).

• we first introduce the idea behind counterparty risk
• followed by some basic definitions
• we then look at some changes and possible shortcoming of the new regulations
• define the basic formulas
• define the functions of a typical CVA desk
• describe the terms behind the Collateral Settlement Agreement
• describes the idea behind collateral transformation
• look at the effects of collateral on curve construction (discounting)
• walk through some basics of the modelling (see "In the balance" for the whole nine yards)
  
• look at the variations possible to the basic model
• conclude with a look at where the possible dangers in the future lie