L3
CVA on Interest Rate Swaps
Quant Researcher · Risk & Model Critique
Question
You are asked to compute unilateral CVA on a portfolio of 10-year interest rate swaps with a single counterparty. What stochastic model would you use for the exposure (EPE curve)? Describe the key calibration choices — mean reversion, vol, correlation with credit — and which inputs drive CVA sensitivity most.