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