@unpublished{mpra17945,
            year = {2008},
           title = {CVA calculation for CDS on super senior ABS CDO},
            note = {Unpublished},
           month = {August},
          author = {Li, Hui},
        abstract = {The way monoline insurers estimate the FAS 157 credit value adjustments (CVA) on their ABS CDO insurance portfolios vastly overstates the benefits. We propose a simple method that is more accurate, especially when the counterparty default risk is high. The counterparty default recovery rate is also a critical input.},
        keywords = {Credit Value Adjustment, Super Senior ABS CDO, Monoline insurer},
             url = {https://mpra.ub.uni-muenchen.de/17945/}
}