The Quant Journey
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The Quant Journey

Monte Carlo Methods for Risk Management: CVA and the Merton Model in Python

1. Exposure to Default and CVA

Credit Valuation Adjustment, or exposure, is what, at any time t, you are at risk of losing, if the counterparty were to default.

It is the higher of the value of the portfolio and 0, i.e.

  • If your portfolio has a negative value




This is a repository of information regarding everything quantitative. I am building my knowledge as I go, therefore this is a journey for both me as a contributor and you as a reader as we venture in to the world of mathematics, programming, statistics, finance and business.

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Andrea Chello

Andrea Chello

Quant | Full-Stack Blockchain Developer

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