01 / THE PRACTICAL QUESTION
A decision, before a model.
A profitable derivative can become a loss if the counterparty defaults when it owes the portfolio money.
Estimate the value adjustment for default, including exposure, recovery, timing, and discounting.
02 / DATA & COMPARISON
The idea in plain language.
CVA combines positive exposure with the chance of default and the share not recovered. Wrong-way risk arises when exposure grows at the same time that default becomes more likely.
- Hazard rate
- The modeled rate of default conditional on survival so far.
Data. Simulated exposure paths and explicit default assumptions.
Baseline. Independent exposure and default with matched discounting.
03 / THE EXPERIMENT
What the saved experiment shows.
The saved five-year flat-exposure check gives CVA 5.289 on exposure 100, with hazard 2%, recovery 40%, and discount rate 3%. This controlled example makes each ingredient inspectable.
Inspect the supporting resultEvidence record: research-validation.json#numerical_checks/09
Explore the related lab04 / RESULTS & LIMITATIONS
Evidence with its boundaries attached.
The related lab is a cross-project demonstration. Read this investigation’s evidence and limits before transferring its conclusions.
Inspect numerical checks and validation records
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Real CVA depends on legal netting, collateral, recovery, and market-implied calibration.
05 / REPRODUCE
Reproduce and challenge the result.
Code, configuration, and reproduction
The project contains its implementation, configuration, tests, and walkthrough. Download the lab configuration to record the exact parameters used in an interactive run.
Project code and walkthrough