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A further application of models such as the diamond default model is in connection with Credit Value Adjustments (CVA).
CVA is the difference between the default-free value of a contract and the value allowing for counterparty default or, if you like, the 'adjustment' that must be made to the 'traditional' pricing method which ignores questions of default.
To get some idea what CVA entails, let us consider a plain vanilla interest rate swap, as discussed in Chapter 3, in which at semi-annual coupon dates over N years one party (the payer, P) pays a fixed-rate coupon K while the counterparty (the receiver, R) pays LIBOR L.
Now consider CVA from P's point of view.
Nowadays, in addition to CVA there are all kinds of other adjustments, collectively known as XVA (plug in your favourite variety for X), which between them are intended to provide tighter risk control.
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