Interactions of Logistic Distribution to Credit Valuation Adjustment: A Study on the Associated Expected Exposure and the Conditional Value at Risk

In Basel III, the credit valuation adjustment (CVA) was given, and it discussed that a bank covers mark-to-market losses for expected counterparty risk with CVA capital charge. The purpose of this study is threefold. Using logistic distribution, shown how exposure can be derived an interest rate swap. Secondly, measure VaR contributed under distribution. Thirdly, generalizations CVaR are given by considering both spread positive to follow distributions different parameters. Finally, several simulations provided uphold theoretical discussions.