Credit Valuation Adjustment

Hey guys I have an interview tomorrow for a Credit Valuation Adjustment analyst position for an IB. Can anyone give me any tips? or what the position is about? Just so you know I have no experience in this. I am a little baffled why they even called me lol. I did apply but I wasn’t expecting a call. I am a CFA level 2 candidate and I am going back to school for my Masters in Accounting. I also have an Associates degree in programming and Bachelors in Business Admin - MIS. My work experience consists of being an FA and now I work in Compliance. I’m guessing they are calling me based on my education rather than my work experience. Thanks!

it is probably better to check the wilmott forums for CVA related questions.

Thank you!

It’s related to SFAS157. The market value of an instrument now has to be adjusted for credit risk, see this for some color - Citibank example “CVA Methodology SFAS 157 requires that Citi’s own credit risk be considered in determining the market value of any Citi liability carried at fair value. These liabilities include derivative instruments as well as debt and other liabilities for which the fair-value option was elected. The credit valuation adjustment (CVA) is recognized on the balance sheet as a reduction in the associated liability to arrive at the fair value (carrying value) of the liability.” Good luck tomorrow.