<?xml version="1.0" encoding="UTF-8"?> <article key="pdf/10000048" mdate="2014-11-03 00:00:00"> <author>R. Henry and J-B. Paulin and St. Fauchille and Ph. Delord and K. Benkirane and A. Brunel</author> <title>Dissociation of CDS from CVA Valuation under Notation Changes</title> <pages>3403 - 3407</pages> <year>2014</year> <volume>8</volume> <number>10</number> <journal>International Journal of Economics and Management Engineering</journal> <ee>https://publications.waset.org/pdf/10000048</ee> <url>https://publications.waset.org/vol/94</url> <publisher>World Academy of Science, Engineering and Technology</publisher> <abstract>In this paper the CVA computation of interest rate swap is presented based on its rating. Rating and probability default given by Moody&amp;amp;rsquo;s Investors Service are used to calculate our CVA for a specific swap with different maturities. With this computation the influence of rating variation can be shown on CVA. Application is made to the analysis of Greek CDS variation during the period of Greek crisis between 2008 and 2011. The main point is the determination of correlation between the fluctuation of Greek CDS cumulative value and the variation of swap CVA due to change of rating. </abstract> <index>Open Science Index 94, 2014</index> </article>