Credit value adjustment (CVA) is an adjustment added to the fair value of an over-the-counter trade due to the counterparty risk. When the exposure to the counterparty changes in the same direction as the counterparty default risk the so-called wrong-way-risk (WWR) must be taken into account....

Credit value adjustment (CVA) is an adjustment added to the fair value of an over-the-counter trade due to the risk of counterparty defaults. When the exposure to the counterparty and the counterparty default risk tend to change in the same direction, the so-called wrong-way risk (WWR) must be...