PelatihThe bilateral CVA is the adjustment when each is computed on first-to-default: the counterparty’s default costs the bank only if the bank has not defaulted first (weight in the CVA sum), and symmetrically. It makes the two parties agree on the price: one’s CVA is the other’s DVA.
Contoh
Example 18.5 (Both sides)
The bank itself is quoted at 40 to 90 basis points (illustrative single-A). Its netting set drifts in the counterparty’s favour (chapter 17), so its DVA of USD 1 055 437 exceeds its CVA. On first-to-default the CVA is 832 416 and the DVA 896 328: the bilateral adjustment is , a small net benefit to the bank. Under chapter 17’s zero-threshold CSA the CVA falls to USD 122 340 and the DVA to 70 490.