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COREP Guidance COREP Terms & Definitions CONTACT US What is a Credit Valuation Adjustment?

What is a Credit Valuation Adjustment (CVA)?

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CVA or Credit Valuation Adjustment is the difference between the risk-free value of a portfolio of trades and the market value which takes into account the counterparty’s risk of default.

As such, the Credit Valuation Adjustment (CVA) represents an estimate of the adjustment to fair value that a market participant would make to incorporate the credit risk of the counterparty due to any failure to perform on contractual agreements.