Dissociation of CDS from CVA Valuation under Notation Changes

In this paper the CVA computation of interest rate
swap is presented based on its rating. Rating and probability default
given by Moody’s Investors Service are used to calculate our CVA
for a specific swap with different maturities. With this computation
the influence of rating variation can be shown on CVA. Application
is made to the analysis of Greek CDS variation during the period of
Greek crisis between 2008 and 2011. The main point is the
determination of correlation between the fluctuation of Greek CDS
cumulative value and the variation of swap CVA due to change of
rating.

• R. Henry
• J-B. Paulin
• St. Fauchille
• Ph. Delord
• K. Benkirane
• A. Brunel

• CDS
• Computation
• CVA
• Greek Crisis
• Interest Rate Swap
• Maturity
• Rating
• Swap.

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