Abstracts

After Lehman default (credit crisis which started in 2007), practitioners considered the default risk as a major risk. The Industry began to charge for the default risk of any derivatives. In this article we defined a methodology in order to fully adjusted the close out premium used to compute the CVA according to the Liquidity Risk. It is the first time that the CVA is adjusted taking into account the Liquidity Market Risk. We innovate market liquidity risk methodologies, in order to quantify this risk in the future to the close out premium. Therefore the CVA or Exposure will be function of our risk view or apetite.