Credit Valuation Adjustment for Interest Rate Swaps with CDS Data
In this blog post, I will guide you through the convoluted nature of calculating CVA for an IRS step by step. Please find the accompanying Python Notebooks on my GitHub page. We will take a look at the 8 steps required to calculate the Credit Valuation Adjustment (CVA) for hedging against the risk of default of the counterparty when entering an Interest Rate Swap (IRS) using